Moved here from thread:
Big Mike's day trading method and advice

I started getting carried away with revisions.
@Big Mike
@kevinkdog

var:buypt(0);

If time=0 then buypt=close-.5;

If time=0 then
buy next bar at buypt limit;
If time=700 then sell next bar at close+.5 limit;
// commission $5 round turn. $12.50 slippage ( not in play for limit orders )

By the way I'm running on ETH ( regular session ) 5 minute bars.

timendaGain 

Moved here from thread: Big Mike's day trading method and advice I started getting carried away with revisions. @Big Mike @kevinkdog var:buypt(0); If time=0 then buypt=close-.5; If time=0 then buy next bar at buypt limit; If time=700 then sell next bar at close+.5 limit; // commission $5 round turn. $12.50 slippage ( not in play for limit orders )

Since you are using limit orders for both entry and exit, shouldn't the slippage always be $0?

The risk here is when the sell limit is not filled, the strategy will hold until the next morning at 7 AM.

Also, did you assume limit orders were filled only if price was exceeded? That chops off 30% of the net profit, with around 55% fewer trades...

I think slippage is automatically eliminated when using limit orders.
That's a good point about that setting. I had thought the default would be the one you suggested so that price must pass through. That's how it is on NinjaTrader's default fill type.
Oh well. That kills it!

timendaGain 

I think slippage is automatically eliminated when using limit orders. That's a good point about that setting. I had thought the default would be the one you suggested so that price must pass through. That's how it is on NinjaTrader's default fill type. Oh well. That kills it!

As long as you have a slippage amount in the box, it will count it, regardless of the order type. It would be slick if it did what you said.

And yes, the default should be "fill only if exceeded." Why this isn't the default just amazes me. Probably thousands of traders, myself included, have been tripped up by this setting.


The simple strategy did not work, but it is possible that slightly complicating it might lead to something. I might look later this week, and I'll anything of value I find.