Based on the explanation on “Keep After Worst-Case Slippage” below and reading a couple of posts in the forum, there are two factors that negatively impacts the Keep After Worst-Case Slippage (correct me if I’m wrong): 1) Entering and Exiting using a Limit/Stop Order and 2) Scalping for profits that are small relative to the bid/ask spread.
I currently use market orders for entry but always have a hard stop loss and profit target in place so this would negatively impact the keep after worst-case slippage which is acceptable.
Need clarification on small relative to the bid/ask spread. Let’s say the bid/ask spread on EURUSD is 1 pip, what is the minimum profit in pips required for a trade to prevent the decline in this statistics? This information would be helpful to myself (non-scalping system that does not allow winners to become losers by moving stop loss to lock in on small profits when the pips are piling up) and other system developers.
Feedback would be appreciated.
Keep After Worst-Case Slippage
This statistic describes the percentage of the system’s profits you are likely to keep if you are unlucky and receive the worst-case slippage on every trade. Thus, the higher the percentage, the more profit you are likely to keep, and the more favorable this statistic.
This statistic penalizes systems that attempt to scalp for profits that are small relative to the typical bid/ask spread of the instrument being traded. Keep in mind this is only one statistic among many, and it should be weighed in the context of other numbers you see here.
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This statistic penalizes systems that attempt to scalp for profits that are small relative to the typical bid/ask spread of the instrument being traded
Bravo. Good for the stat. Scalping systems have never done well on C2.
Matthew/C2 Staff Member,
Feel free to jump in at any time to quantify small relative to the typical bid/ask spread.
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Matthew,
Do I need to pay an additional fee for customer support?
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The keep-after-slippage stat is 1 minus the following percentage: the average unit p/l divided by the average bid/ask spread.
Thanks.
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