Algo Trading System Entries and Exits - What To Do, What Not To Do

[@nevernoone]

Hi! Thanks so you much for the video. I’m currently programming an automatic system and have a question for you. Which entry order type is best for a scalping strategy on the 5-minute ES? Market order, limit order on close, or stop-limit order?

[@AlgoTradingWithKevinDavey]

It really depends on what exactly your strategy is doing. Limit orders have the least amount of slippage, but you will sometimes get missed fills. I personally avoid scalping strats.

[@flyhigh5056]

good information, your are so right as I found quick that to many filters cause problems

[@AlgoTradingWithKevinDavey]

Glad it was helpful!

[@IsaacWendt]

great video. I'm torn between needing the strategy to work in both long and short and across all markets and having strategies that only work long or in certain types of markets. It just feels like you don't have a "real" strategy if it doesn't go long and short and cross all markets. It feels like you have fooled yourself into thinking that you haven't curve fit the strategy but really you have. How and why is this thinking wrong? I know i have a few good long only systems but if ran in another market but the USA maybe a market that went no where it wouldn't work. On the other hand you have humans and markets that have shown consistent patterns and volatility over long periods of time. How do you manage this fine line?

[@AlgoTradingWithKevinDavey]

I almost always have strategies that go long and short, I do not require a strategy to work in multiple markets.

[@SailorPilot]

Hi Kevin, thanks for video. What is the bad thing to use positon sizing methodology while creating system? Cant we see the edge?

[@AlgoTradingWithKevinDavey]

Sometimes the edge gets obscured by the position sizing, I like to see steady performance with single contract thru time.

[@SailorPilot]

@@AlgoTradingWithKevinDavey Thanks for the answer. I’m not using any software. Only Trading View and own developped excel spreadsheet. I’m also calculating R Multiples. If i draw a graph as R Multiple equity curve, i think it works on same way like you mention to trade with one contract.

[@AlgoTradingWithKevinDavey]

@@SailorPilot - Thanks for the reply!

[@flyhigh5056]

fitting to noise is a bigger deal than I previously thought. I have been reading about Renaissance Technologies and have found it interesting that much of their quant data mining is actually searching for 'real' correlations vs random coincidence.

[@AlgoTradingWithKevinDavey]

Noise is huge. So is "luck." Usually strategies that look good in backtest have both been fit to noise, and enjoy good luck. When you go live with those, the noise is different than in backtest, and good luck tends to disappear. Both of these hurt performance. So the trick is to develop strategies knowing and accounting for these things.

[@BrytTrades]

Hi kevin. Im at tje start of my journey. Were do i learn easy language? On trade station there does not seem to be a defined way of learning. Could you please direct me

[@AlgoTradingWithKevinDavey]

Send me e-mail [e-mail] and I'll provide some info for you...

[@jasondesmul]

Thank you so very much.

[@AlgoTradingWithKevinDavey]

Glad it helped Jason!