'BO IDX' got stopped out shortly after the open. The low of the day on the tracking vehicle (IDX) so far is just 0.03 below the stop. However, the trading vehcile didn't stop out. This happens sometimes*. Once I noticed this, and that the EMDU09 had rallied back up to near breakeven, I closed the EMDU09 trade. Happy to take a smaller trading loss as compared to the tracking vehicle.
The Modeled position (IDX) posted a 0.80% loss, which is worse than the average losing trade return of -0.56%. The actual Trading position (EMDU09) posted a 0.18% loss (including commissions), 0.62% better than the model.
Perhaps the stop is just too tight or some of the filters need to be adjusted. I may take a stab at rebuilding this model.
* http://stbsmb.blogspot.com/2009/07/out-of-sync-modeled-vehicle-rutx-and.html :
"I wonder if the opposite has ever worked in my favor? Such that the tracking vehicle got stopped out, but the trading vehicle didn't. I do recall that within the past 6 months or so, a trading position get stopped out (within 15 minutes after a particularly volatile FOMC release) at a much better price than the modeled position did, perhaps by as much as 0.50% I have only recently begun to monitor how much of a difference there is between a position's modeled return and its actual trading return, and have discovered that on average its around 0.15% lower than the modeled return."
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