Hi members,
I have created a strategy with ES as the instrument. However, as I have only a small capital, I need to trade with MES. When I tried to backtest the strategy with MES, the result was worse than the one with ES.
Given the situation, may I please seek your advice on the execution?
A few plans have popped up in my mind, from most preferred to least preferred:
1. Follow ES rules, and trade MES with market order: the entry/exit rules still follow the strategy on ES. When the entry/exit orders have been triggered on ES, there would be market orders immediately sent to MES for execution. In this way, the impact of the price difference between MES & ES would be minimized. I still haven’t figured out the coding part yet.
2. Follow ES rules, and trade MES with ES price: the entry/exit rules also follow strategy on ES. The entry/exit orders would be directly executed by MES (i.e. add a data series on MES and place all orders there). One big downside is that the price difference between MES and ES could sometimes cause some orders to fail to be triggered. For example, the strategy may place a buy-stop order at $1000. ES may hit the price (as the price is generated by the entry rules from ES), yet MES does not. Hence, the result would be different from my backtest performance.
Happy to know your thoughts! Thank you.
I have created a strategy with ES as the instrument. However, as I have only a small capital, I need to trade with MES. When I tried to backtest the strategy with MES, the result was worse than the one with ES.
Given the situation, may I please seek your advice on the execution?
A few plans have popped up in my mind, from most preferred to least preferred:
1. Follow ES rules, and trade MES with market order: the entry/exit rules still follow the strategy on ES. When the entry/exit orders have been triggered on ES, there would be market orders immediately sent to MES for execution. In this way, the impact of the price difference between MES & ES would be minimized. I still haven’t figured out the coding part yet.
2. Follow ES rules, and trade MES with ES price: the entry/exit rules also follow strategy on ES. The entry/exit orders would be directly executed by MES (i.e. add a data series on MES and place all orders there). One big downside is that the price difference between MES and ES could sometimes cause some orders to fail to be triggered. For example, the strategy may place a buy-stop order at $1000. ES may hit the price (as the price is generated by the entry rules from ES), yet MES does not. Hence, the result would be different from my backtest performance.
Happy to know your thoughts! Thank you.
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