Started Algo Trading - Daily Paper Trade updates
- Thread starter Cubt
- Start date
- Tags algo tading day trading day trading f&o stocks symphony
Slippage impact trading Nifty
Consider we have 250 trading days in a year.
Nifty lot size : 50
Slippages and Brokerage points deduction: 5 per day
So in a day irrespective of profit/loss, we need to pay = 50*5=Rs.250 as slippages and brokerage considering the algo takes only one trade(buy&sell).
In a year we end up paying Rs.62,500 as slippages n brokerage, which is 1245 points in a year.
Again Symphony algo fee is Rs. 50000 which is another 1000 points.
In order to break even we need to make 1245+1000=2245 points minimum in a year.
This is for just one lot calculation, increasing lot size increases slippages n other costs.
The impact much higher if I opt for Stock futures. As said earlier 80% of my strategy's profit was coming from 20% of trading days(trending days), but remaining 80% trading days are range bound days which would have huge impact because of slippages.
When I was trading this setup manually there was slippages but was still profitable. I did not realize that on a long run I will not be profitable at all trading that system.
I did not realize slippages will have such an impact, only after trading in Symphony simulation environment i realized it.
ahhh.. man... after trying so hard for past couple of months with all dreams that I would start algo from Monday.. finally everything got shattered..
Anyways everything happens for a reason, Good thing is I realized it before I GO LIVE, or else I would have lost lacs and realized it later. I seriously accept my defeat, there is lot more I need to work on.
With all new Hope and strength, will try to do what am good at rather than spending time on finding a system.
Request Mod to kindly close the thread.
Consider we have 250 trading days in a year.
Nifty lot size : 50
Slippages and Brokerage points deduction: 5 per day
So in a day irrespective of profit/loss, we need to pay = 50*5=Rs.250 as slippages and brokerage considering the algo takes only one trade(buy&sell).
In a year we end up paying Rs.62,500 as slippages n brokerage, which is 1245 points in a year.
Again Symphony algo fee is Rs. 50000 which is another 1000 points.
In order to break even we need to make 1245+1000=2245 points minimum in a year.
This is for just one lot calculation, increasing lot size increases slippages n other costs.
The impact much higher if I opt for Stock futures. As said earlier 80% of my strategy's profit was coming from 20% of trading days(trending days), but remaining 80% trading days are range bound days which would have huge impact because of slippages.
When I was trading this setup manually there was slippages but was still profitable. I did not realize that on a long run I will not be profitable at all trading that system.
I did not realize slippages will have such an impact, only after trading in Symphony simulation environment i realized it.
ahhh.. man... after trying so hard for past couple of months with all dreams that I would start algo from Monday.. finally everything got shattered..
Anyways everything happens for a reason, Good thing is I realized it before I GO LIVE, or else I would have lost lacs and realized it later. I seriously accept my defeat, there is lot more I need to work on.
With all new Hope and strength, will try to do what am good at rather than spending time on finding a system.
Request Mod to kindly close the thread.
Am back. This is a post to let you all know that I have not quit. The Dream that I had hold on my mind when i started trading is till there. Let me tell you all, you something already know, Trading ain't all sunshine and rainbows. Its a very mean and nasty business and I don't care how tough you are, it will beat you to your knees and you keep you there if you let it.
You, me, or nobody is gonna get hit as hard as life. But it ain't about how hard you hit, its about how hard you get hit and keep moving forward. That's how winning is done. I have corrected my mistakes now. Have implemented what I have learnt all these years now. I truly believe in what I do.
I have finished testing my algo strategy yet again. Its working very well. All bugs have been cleared. Am going live on algo trading in 2 days.
keep you posted on any updates. :thumb:
Guys,
Am back. This is a post to let you all know that I have not quit. The Dream that I had hold on my mind when i started trading is till there. Let me tell you all, you something already know, Trading ain't all sunshine and rainbows. Its a very mean and nasty business and I don't care how tough you are, it will beat you to your knees and you keep you there if you let it.
You, me, or nobody is gonna get hit as hard as life. But it ain't about how hard you hit, its about how hard you get hit and keep moving forward. That's how winning is done. I have corrected my mistakes now. Have implemented what I have learnt all these years now. I truly believe in what I do.
I have finished testing my algo strategy yet again. Its working very well. All bugs have been cleared. Am going live on algo trading in 2 days.
keep you posted on any updates. :thumb:
Am back. This is a post to let you all know that I have not quit. The Dream that I had hold on my mind when i started trading is till there. Let me tell you all, you something already know, Trading ain't all sunshine and rainbows. Its a very mean and nasty business and I don't care how tough you are, it will beat you to your knees and you keep you there if you let it.
You, me, or nobody is gonna get hit as hard as life. But it ain't about how hard you hit, its about how hard you get hit and keep moving forward. That's how winning is done. I have corrected my mistakes now. Have implemented what I have learnt all these years now. I truly believe in what I do.
I have finished testing my algo strategy yet again. Its working very well. All bugs have been cleared. Am going live on algo trading in 2 days.
keep you posted on any updates. :thumb:
Dear Cubt,
Welcome back and my best wishes for your success......:thumb::thumb:
HEM
Guys,
Am back. This is a post to let you all know that I have not quit. The Dream that I had hold on my mind when i started trading is till there. Let me tell you all, you something already know, Trading ain't all sunshine and rainbows. Its a very mean and nasty business and I don't care how tough you are, it will beat you to your knees and you keep you there if you let it.
You, me, or nobody is gonna get hit as hard as life. But it ain't about how hard you hit, its about how hard you get hit and keep moving forward. That's how winning is done. I have corrected my mistakes now. Have implemented what I have learnt all these years now. I truly believe in what I do.
I have finished testing my algo strategy yet again. Its working very well. All bugs have been cleared. Am going live on algo trading in 2 days.
keep you posted on any updates. :thumb:
Am back. This is a post to let you all know that I have not quit. The Dream that I had hold on my mind when i started trading is till there. Let me tell you all, you something already know, Trading ain't all sunshine and rainbows. Its a very mean and nasty business and I don't care how tough you are, it will beat you to your knees and you keep you there if you let it.
You, me, or nobody is gonna get hit as hard as life. But it ain't about how hard you hit, its about how hard you get hit and keep moving forward. That's how winning is done. I have corrected my mistakes now. Have implemented what I have learnt all these years now. I truly believe in what I do.
I have finished testing my algo strategy yet again. Its working very well. All bugs have been cleared. Am going live on algo trading in 2 days.
keep you posted on any updates. :thumb:
Thanks for the reply Cubt.
AFAIK your problem for scrapping your earlier project was the slippage factor.
I wanted to know how u dealt with this and came up with a solution.
I cant understand how modification in position sizing curb this menace.
pls enlighten.
Thanks,
MT
AFAIK your problem for scrapping your earlier project was the slippage factor.
I wanted to know how u dealt with this and came up with a solution.
I cant understand how modification in position sizing curb this menace.
pls enlighten.
Thanks,
MT
In order to implement risk management and avoid slippages I made the following changes.
By implementing Van tharp position size model I had control over risk management, to use that model I need to move to cash segment from Futures.
Initially the Symphoney's presto strategy would hold the orders internally and shoots out the order only when the trigger price reached. It was designed such to avoid blockage of extra margins. Now the orders will be placed directly at the start of market hours, these two factors have considerably reduced my slippages.
Gr8.
Though I would really appreciate if you could throw some light on:
=> how did you manage to backtest your new position sizing criteria
=> whhich position sizing technique did you follow?
=> did you backtest on the cash data bcoz results may differ?
I hope i m not bugging you with too many questions.
Thanks,
MT
Though I would really appreciate if you could throw some light on:
=> how did you manage to backtest your new position sizing criteria
=> whhich position sizing technique did you follow?
=> did you backtest on the cash data bcoz results may differ?
I hope i m not bugging you with too many questions.
Thanks,
MT
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