bwebber

FWIW, I've been trading QM for a couple of months. I developed a strategy on the CL, but decided to run it on the QM for a bit until I was more confident with the strategy. This strategy holds for a few days at a time so the increased bid-ask spread is not too significant. The QM may not be very good for daytrading due to the low volume and increased spread though. For my purposes the QM is following the CL close enough to give identical trade signals.

DAVT, Why is slippage being subtracted if these are actual trades?

"Evidence Based Technical Analysis" by David Aronson

Exactly. That's how I see it too.

1% stops will gradually destroy your account on low dollar stocks. Instead of taking one trade with 1% stop, spread your money out over ten trades with 10% stops. You must be willing to take risk to be successful, but just do it with a smaller amount of capital on each trade.

Callahan, Sounds to me like you are doing things right. Do not change your strategy and don't trade on simulator. You just need to condition yourself by gradually adding to your position sizes. If you have a good strategy confidence will come.

Traders lose because they are willing to trade systems based on blind faith instead of rigorously testing the system. In particular, the system must be tested on a large data set it has never seen before during it's development. If it passes that test the system should be tested live on simulator. If it still looks good it should be traded with real money with very small positions. If it still looks good it should be traded live with positions sized to the traders comfort level anticipating drawdown levels approached in the testing phase.

I have never found market stops to improve system profitability, so I place them as wide as possible, based on the amount of pain I'm willing to endure. I think what is more important is to diversify your trades so that you don't have everything riding on one trade.

feng2088, I would recommend you shoot for less trades, and more dollars per trade. Also, limit orders will eliminate slippage, but you will miss out on your best trades, so there is still an expense that should be considered. You should check the "Fill entire order when trade price exceeds limit price" which will give you a more realistic report. Also, you must test this on a time frame NOT within the time frame you optimized on. This will be your out-of-sample test, and will tell you if your strategy has any chance of success.