I’ve started a new system - and thinking of going live - but I have a question about how the realism factor is being calculated for my system.
I expected to have a realism factor of 100% - because all of my limit orders (entry and exit) traded well through the limit prices - and well after the trades were entered into the system. Therefore timing shouldn’t have been an issue.
My system has a limit and stop factor of 50% and a volume factor of 100% - thus a 75% realism factor.
Can someone help me understand the 50% limit and stop factor?
The system is “Fork U ES”.
Thanks!
No one?
The RF factor gets re-calced every week or so. I forced an update on your system. You were right – it should have been 100%. That has been corrected.
Thanks - I appreciate the info!
Matthew,
I have another question about RF. I always submit market orders, so the limit and stop factor is always 100%. However, this seems to never get taken into account. If a trade has a volume factor of 50%, and a limit and stop factor of 100%, the overall realism factor comes out to 50%. Why am I not being credited for the 100% limit and stop factor?
Brian
Looks to me like the two values are being multiplied together, for instance I just looked at a trade with a vol factor of 38.52%, a limit/stop factor of 20.00% and the resulting RF is 7.7%
Right. RF is effectively a probability calculation. To find the probability of Event 1 and Event 2 happening, we multiply P(E1) x P(E2).
Event 1 in this case is getting the fill at the price specified based on volume available. Event 2 is being one of the “lucky” traders who gets filled at a limit or stop (based on the quantity actually traded at a just-touched price).
I think the best way to look at a limit order is to run an analysis on the time that the order was entered as limit order and run it against the graph to see if it’s actually clear thru the bid or ask limit orders. This mean that if you have an order limit on eminies , esh6 at 1290 limit buy , to be sure thats it is completely fill at 100% the price on the graph would have to be 1290.25 then you can tell your customers that relism factor is 100%. As far as anything else , its pure speculation, factor this ,factor that…ect. So if your c2 can scan the entry price and run it thru next few bars let said on 1 minutes and it shows that’s above the limit price ask the you can say , yeah thats 100% real filling without slip.
That is in fact what we do.
