Entry Efficiency

[texasnomad]

Hey everyone,

I've done six years worth of strategy research and program trading strategies for a living. In that time, I've coded thousands of strategies and seen a number of strategies with genuine exit efficiencies.

Despite all that experience, I've never seen a strategy produce a consistent entry efficiency above 55% (i.e., random). Does anyone out there have a strategy that produces a real entry efficiency? I'd be happy to trade ideas if you have some insight.

[koganam]

Hey everyone,

I've done six years worth of strategy research and program trading strategies for a living. In that time, I've coded thousands of strategies and seen a number of strategies with genuine exit efficiencies.

Despite all that experience, I've never seen a strategy produce a consistent entry efficiency above 55% (i.e., random). Does anyone out there have a strategy that produces a real entry efficiency? I'd be happy to trade ideas if you have some insight.

It really depends on your entry style. As most of my entry methods utilize a StopLimit type of entry, I get an entry efficiency of above 90%.

However, I too have noticed that if my EnterLimit entry is triggered instead, my entry efficiency drops pretty hard. The problem is that I found my data on the latter to be statistically insignificant (too small a sample/population size), until you just confirmed it.

[texasnomad]

Thanks koganam. It seems like a simple oversight, but I had not considered the idea of testing stop and limit entries versus market orders.

Hearing your feedback about the effect on efficiencies makes it worth investigating different entry order types.

[koganam]

Thanks koganam. It seems like a simple oversight, but I had not considered the idea of testing stop and limit entries versus market orders.

Hearing your feedback about the effect on efficiencies makes it worth investigating different entry order types.

Actually I never use Mar****rder for entry anymore. Indeed, I am surprised that you get an entry efficiency of so close to 50%. In my experience Mar****rder had an entry efficiency of closer to 10%.

I guess it really depends on the bid/ask spread on the instruments you trade: the bigger the bid/ask spread, the worse the efficiency. This is hardly surprising, as fills at market are in the first instant at the worst possible place anyway: buy on the ask; sell on the bid.

Regardless, even instruments with just 1 tick of a bid/ask spread also had horrible entry efficiency in live tests. In many cases, Mar****rder actually seemed to be filing with one extra adverse tick.

[solvmatic]

I use all market order, got 57% on entry efficiency, but did poorly on exit, around 24%. maybe we can help each other.

[texasnomad]

Limit orders usually help improve exit efficiency. You may find this link useful - it improves the exit efficiency of random trades up to 75-80%.

What kind of system are you running, trending or ranging?
What method of exiting are you using now?

[solvmatic]

Thanks for the link.
it is a dynamic breakout system that I am testing, it measures previous weighted swings and go with the breakout . I don't use time based chart to calculate the weight. I can share some charts with you if you like.
here is my email solvmatic at gmail.com