Simulated Stop

[ts888]

just wanted to check in and see if any ES traders are using this feature and any recent experiences. Over time I have moved my vol trigger upwards and for past 2 months, I've been using 750. At this level I am experiencing slippage @10% of the time which is tolerable and I think I am net positive on the times the feature has saved me even after subtracting out the 10%.

any other thoughts and/or experiences?

[ts888]

Hi TS,

I'm not qualified to tell you what number you need to use, but have you tried a higher number like 750? Do you still experience a slippage of 50%?


Vince

I'm gonna keep inching it up and see what happens. Would like to get slippage no more than 25%. I guess I'm just more surprised that those 500 contracts really are getting eaten up so quickly and curious if other ES traders are using this cool feature.

[NinjaTrader_VinceB]

Hi TS,

I'm not qualified to tell you what number you need to use, but have you tried a higher number like 750? Do you still experience a slippage of 50%?


Vince

[ts888]

I've been trying 500 on ES but still getting slippage over 50% of the time. Should it be higher than that? Any other users of this feature care to chime in? I'm surprised to get slippage at 500 value.

[ts888]

ts888,

You are correct in understanding.

For example you put in a value of 200, it means that when the market goes down and touches your stop loss, but the # of contracts sitting at that price is greater than 200, you will stay in the trade.
If the # of contracts drop to 200 or below, you will get stopped out.

Vince

ok, great, now it makes sense. Thanks.

[NinjaTrader_VinceB]

ts888,

You are correct in understanding.

For example you put in a value of 200, it means that when the market goes down and touches your stop loss, but the # of contracts sitting at that price is greater than 200, you will stay in the trade.
If the # of contracts drop to 200 or below, you will get stopped out.



Vince

[ts888]

Hi ts888,

The lower the number you are using for the SIM Stop, the greater the chance you will get slippage. Especially in a high volume market such as the ES. I suggest using a much higher number and test this out in the Sim101 account.
Vince

hmmm.....ok, so I had it backwards it seems? So does it then mean that the value is not the number of contracts you want to see traded but rather the number you want to see remaining in that level?

[NinjaTrader_VinceB]

Hi ts888,

The lower the number you are using for the SIM Stop, the greater the chance you will get slippage. Especially in a high volume market such as the ES. I suggest using a much higher number and test this out in the Sim101 account.



Vince

[ts888]

I've been trying this SIM stop and I'm a little confused. I kept getting slippage every trade so I adjusted it down to a value of 15 for ES. I still get slippage each trade but that is not my question, my question is that I watch considerably more than 15 contracts get traded at stop price before my order goes to market. Just now I saw a block of 97 go through and then it still didn't trigger until a few more trades after that.

what am I not understanding in regards to this function? I do understand that the possibility of slippage is increased when using this feature but if I'm going to get slippage every trade with such a low value of 15 on ES then why even use it? and why does it take so many more than 15 traded before firing order?

[ts888]

I use this feature in all my manual trades. You need to consider how much 'tolerance' you have for stoploss levels. I have found that a value of 200 suits my needs with the ES, but then I trade very tight stops. I used to use 800, but found that quiet days can trigger this too often. The number of times I am 'actually' stopped with this level and the market only bounces is a lot less than the number of times the level has be 'tested' without triggering the StopLoss. Similarly I find that in most cases if the volume level drops enough then I can usually get filled with no slippage before the next level is traded. However there is no guarantee that one more tick is traded, and that becomes the 'bounce' level! Simulated Stop is simply an advanced feature and is no substitute for strict Money Management of trades. Also be aware that there are two options of how the Stop will have handled if it is triggered. Market or Limit orders can be issued. I trade using Limit, a friend uses Market. We have had about the same consistency in fills vs slippage. It all depends on volatility and your tolerance for extra slippage. With a limit order you risk that that the next order could be a big volume order that takes out more than one level - I have seen this happen, but thankfully never whilst I was in a trade! Hope this helps.

Thanks Kardinal, really appreciate the response. I currently use stop limit orders on entries such as breakouts but I have always used stop market on stop losses. Too scared I guess that it will skip past my stop loss level. I like the peace of mind of knowing I'm guaranteed to be out once it's reached a level that I determined I no longer wish to be in a trade. Sounds like for you though, this hasn't been an issue so maybe I'll consider.

thanks again

[Kardinal]

I use this feature in all my manual trades. You need to consider how much 'tolerance' you have for stoploss levels. I have found that a value of 200 suits my needs with the ES, but then I trade very tight stops. I used to use 800, but found that quiet days can trigger this too often. The number of times I am 'actually' stopped with this level and the market only bounces is a lot less than the number of times the level has be 'tested' without triggering the StopLoss. Similarly I find that in most cases if the volume level drops enough then I can usually get filled with no slippage before the next level is traded. However there is no guarantee that one more tick is traded, and that becomes the 'bounce' level! Simulated Stop is simply an advanced feature and is no substitute for strict Money Management of trades. Also be aware that there are two options of how the Stop will have handled if it is triggered. Market or Limit orders can be issued. I trade using Limit, a friend uses Market. We have had about the same consistency in fills vs slippage. It all depends on volatility and your tolerance for extra slippage. With a limit order you risk that that the next order could be a big volume order that takes out more than one level - I have seen this happen, but thankfully never whilst I was in a trade! Hope this helps.

[ts888]

Nightowl,

Unfortunately it is not possible to provide some meaning behing simulated stop trigger values. The drastically vary for the type of market you trade, time of day and even season. My suggestion is to use the simulated stop feature in the Sim101 account and test varying trigger levels and find a number that suitsyou best.

Ray

are than any ES traders that have tried out this feature? what have your results been like in terms of how often you get slippage vs how often you are "saved" ? I'm testing it out with a value of 50. I'll let you know how it goes and would love to hear other's experiences. Thanks.

[NinjaTrader_Ray]

imported post

Nightowl,

Unfortunately it is not possible to provide some meaning behing simulated stop trigger values. The drastically vary for the type of market you trade, time of day and even season. My suggestion is to use the simulated stop feature in the Sim101 account and test varying trigger levels and find a number that suitsyou best.

Ray

[NinjaTrader_Dierk]

imported post

There are a number of webinars available addressing theses issues: http://www.ninjatrader.com/web/tradi...e_webinars.htm

They are run on a regular base. I suggest attending one or more of them.

[nightowl]

Can you please better describe what the number values mean and what the range of numbers are. Will a smallar or larger number slow down the chances of the stop being activated?



Thanks