Posted by leekaufman on 5th of Jan 2010 at 02:29 am
Hi Matt, I'm not trading it, though I have it set up on one of
my workspaces.
I'm using the standard Tradestation Pivot Reverse (long and
short) strategy on a 3 minute chart using the input strength value
you recommend.
Even if I take out the commission and the slippage I only get
7.9% and 12.1% returns for November and December.
I'm not sure what you're doing to get something better, but
I'm curious.
By the way, I very much like the idea of the systems and have
made really good money trading them, but I've turned them off in
the last few months as volitility has receeded and returns have
flattened.
PS I'd love to know what your strategy does that mine
doesn't.
The commissions vary on
TradeStation (and that may be the case on IB) depending on what
deal you are on. If you are on the pay per share deal, then trading
low priced ETFs like SRS is far too expensive. If you are paying 1c
per share in then the same out, each day, that is a lot on an ETF
that is only $7 - $8 at present. You would have to use the flat fee
deal and trade in large size. The alternative is to pass the
signals through to a long ETF. I've just had to switch from IYR to
RWR as IYR has fallen off the easy to borrow list (so I missed the
last short, boo hoo).
So that might account for the
different results you are getting.
You raised a good point about commissions. I have TradeStation
and switched from the flat rate of $8.00 to .01 for the first 500
and I think .006 for the rest per share. So on 1000 srs round trip
I am now paying $16 vrs $16 on the old rate. Of course anything
above 1000 shares I am paying more like on 2000 round trip is
$28.00. I have had very goood luck with the mechnical systems. For
an extra 1000 shares you are only talking about a .012 increase in
share price round trip. The mechanical systems I cant see being
effected by this amount.
If you are buying 100,000 lots and are female will you marry
me?
I was told to go back to the old system I would have to close my
account and open a new one.
In retrospect I have started taking Matt and Steve's advice and
starting using the watch list within the last few weeks. Since I am
only buying 200 to 300 shares a position the cost for commissions
really evens out. This is why I switched to the .o1 commission
rates. I have been a member for a few years and even though the
watch list has always done well was reluctant to use it
because of the volume the stocks needed for purchase. Now that this
is included with the alerts I am a very happy camper.
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Hi Matt, I'm not trading
Mechanical Systems Returns Including Commissions and Slippage
Posted by leekaufman on 5th of Jan 2010 at 02:29 am
Hi Matt, I'm not trading it, though I have it set up on one of my workspaces.
I'm using the standard Tradestation Pivot Reverse (long and short) strategy on a 3 minute chart using the input strength value you recommend.
Even if I take out the commission and the slippage I only get 7.9% and 12.1% returns for November and December.
I'm not sure what you're doing to get something better, but I'm curious.
By the way, I very much like the idea of the systems and have made really good money trading them, but I've turned them off in the last few months as volitility has receeded and returns have flattened.
PS I'd love to know what your strategy does that mine doesn't.
The commissions vary on TradeStation (and
Posted by window72 on 5th of Jan 2010 at 03:32 am
The commissions vary on TradeStation (and that may be the case on IB) depending on what deal you are on. If you are on the pay per share deal, then trading low priced ETFs like SRS is far too expensive. If you are paying 1c per share in then the same out, each day, that is a lot on an ETF that is only $7 - $8 at present. You would have to use the flat fee deal and trade in large size. The alternative is to pass the signals through to a long ETF. I've just had to switch from IYR to RWR as IYR has fallen off the easy to borrow list (so I missed the last short, boo hoo).
So that might account for the different results you are getting.
COMMISSIONS
Posted by RM686 on 5th of Jan 2010 at 10:38 am
You raised a good point about commissions. I have TradeStation and switched from the flat rate of $8.00 to .01 for the first 500 and I think .006 for the rest per share. So on 1000 srs round trip I am now paying $16 vrs $16 on the old rate. Of course anything above 1000 shares I am paying more like on 2000 round trip is $28.00. I have had very goood luck with the mechnical systems. For an extra 1000 shares you are only talking about a .012 increase in share price round trip. The mechanical systems I cant see being effected by this amount.
If you are buying 100,000 lots and are female will you marry me?
I was told to go back to the old system I would have to close my account and open a new one.
In retrospect I have started taking Matt and Steve's advice and starting using the watch list within the last few weeks. Since I am only buying 200 to 300 shares a position the cost for commissions really evens out. This is why I switched to the .o1 commission rates. I have been a member for a few years and even though the watch list has always done well was reluctant to use it because of the volume the stocks needed for purchase. Now that this is included with the alerts I am a very happy camper.