I thought i would post the improvements I have made on the FAZ 2
swing system. All the settings are exactly the same except
the profit target along with some additional features I have
written into my strategies. As you can see the profit over
the past year is an additional 100k with 50 less trades, if you
have any questions just ping me.
I think BPT are building in comms of $10 per total trade which
seems a tad low. I am on $6.99 flat trade irrespective of # of
shares so thats $13 round trip. Also, one should not assume that
Slippage is zero which is what I think BPTs strategies do. It
really doesn't turn out like that. Call it murphys law or clever TS
Back end fill systems, invariably, you will get negative slippage
over the long run
So I guess a like for like to compare v BPT for you would be to
add in $10 comms round trip but no slippage
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FAZ 2 swing system
Posted by rank10 on 9th of Jul 2010 at 04:27 pm
I thought i would post the improvements I have made on the FAZ 2 swing system. All the settings are exactly the same except the profit target along with some additional features I have written into my strategies. As you can see the profit over the past year is an additional 100k with 50 less trades, if you have any questions just ping me.
From having coded many strategies
Posted by vimal on 9th of Jul 2010 at 05:16 pm
From having coded many strategies myself, its imperative to make the strategies realistic and add in commissions and slippage
That may have been an oversight so I am not criticising! Just an observation
i left the commissions and
Posted by rank10 on 9th of Jul 2010 at 05:22 pm
i left the commissions and slippage out on purpose. i was trying to compare the FAZ2 strategy listed on BPT to my enhancements
I think BPT are building
Posted by vimal on 10th of Jul 2010 at 12:32 pm
I think BPT are building in comms of $10 per total trade which seems a tad low. I am on $6.99 flat trade irrespective of # of shares so thats $13 round trip. Also, one should not assume that Slippage is zero which is what I think BPTs strategies do. It really doesn't turn out like that. Call it murphys law or clever TS Back end fill systems, invariably, you will get negative slippage over the long run
So I guess a like for like to compare v BPT for you would be to add in $10 comms round trip but no slippage