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Why with market orders are harder to find strategies?

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felipebr

Customer, bbp_participant, community, 18 replies.

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6 years ago #197576

Hi people! I would like to know why when we select “Enter at Stop” and “Enter at Limit” in Building blocks the profitable strategies are found faster while when we select only “Enter at Market” it takes more time to find the good ones.

Even in the gift portfolio all strategies are using stop or limit orders. I would prefer to use only market orders but looks like it easier to find strategies that use stop and limit strategies.

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tomas262

Administrator, sq-ultimate, 2 replies.

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6 years ago #197601

Hello,

I believe the reason is that on a micro-scale (considering context of few bars) entering at time-based bar closing prices is generally disadvantageous. The entire trading world is watching M5, M15, M30, H4 closing prices for markets like EURUSD for example. The biggest players (those who win more often (or bigger) than lose) expect crowds of retail traders to trade (enter) at these prices and tend to fade it. This could be the reason why it is harder to find a profitable strategy. Still it is possible but generally more ingenuity has to be applied

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felipebr

Customer, bbp_participant, community, 18 replies.

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6 years ago #197610

Hi Tomas, I understand but… in stop and limit cases, how and when StrategyQuant calculate the entry points? At tick?

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tomas262

Administrator, sq-ultimate, 2 replies.

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6 years ago #197614

Hello,

yes, with these order types tick data must be used for testing ideally to get correct fill prices for them

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