Posted By: alpha_Johnny
Cheaper execution on Z12 leading to less profit - 07/22/16 07:20
Jcl,
For me, Z12 running on IB provides a 97% return while Z12 running on FXCM provides a 236% return. (screenshots attached)
My confusion:
A) These numbers seem counter intuitive when one looks at the configuration. Here are 2 similar lines from my Asset files for FXCM and IB.
Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol
FXCM file contains:
EUR/USD,1.10095,0.00013,-0.38,0.16,0.0001,0.075747,10,83.393,1000,0.6,EUR/USD
Interactive Brokers file contains:
EUR/USD,1.10069,0.00001,0,0,0.0001,1.8,0,33,20000,0.5,EUR/USD
As you can clearly see, the spreads are much better on IB, the Roll is non existent and commissions are low. The only requirement is of larger lot sizes. To make the comparison fair I moved up the amount of margin to 20,000 (assuming it will generate larger transactions to accommodate larger lot size at IB) as you will notice in both screenshots attached.
Looking at these, I will presume that IB will at-least offer a 20% p.a. cost reduction. Why do Zorro's test results go the other way ?
B) Why are all my results maxing out at 200%ish while some screenshots posted on your old blogs show upwards of 400%. Is there something I am doing wrong in configuration?
C) On some assets like CL which I trade manually, I find that FXCM prices move faster and in higher oscillation as compare to NYMEX. Fxcm also tends to have unusual spikes during low volume hour (for example at 7:20 pm ish on July 19th 2016). Interactive Broker's feed at the same time is more stable. I do not understand the tech-ness of front-running or other special effects, but I would believe that such scenarios can only hurt the retail trader. This point is not a question, but just a comment in reference to my original question.
For me, Z12 running on IB provides a 97% return while Z12 running on FXCM provides a 236% return. (screenshots attached)
My confusion:
A) These numbers seem counter intuitive when one looks at the configuration. Here are 2 similar lines from my Asset files for FXCM and IB.
Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol
FXCM file contains:
EUR/USD,1.10095,0.00013,-0.38,0.16,0.0001,0.075747,10,83.393,1000,0.6,EUR/USD
Interactive Brokers file contains:
EUR/USD,1.10069,0.00001,0,0,0.0001,1.8,0,33,20000,0.5,EUR/USD
As you can clearly see, the spreads are much better on IB, the Roll is non existent and commissions are low. The only requirement is of larger lot sizes. To make the comparison fair I moved up the amount of margin to 20,000 (assuming it will generate larger transactions to accommodate larger lot size at IB) as you will notice in both screenshots attached.
Looking at these, I will presume that IB will at-least offer a 20% p.a. cost reduction. Why do Zorro's test results go the other way ?
B) Why are all my results maxing out at 200%ish while some screenshots posted on your old blogs show upwards of 400%. Is there something I am doing wrong in configuration?
C) On some assets like CL which I trade manually, I find that FXCM prices move faster and in higher oscillation as compare to NYMEX. Fxcm also tends to have unusual spikes during low volume hour (for example at 7:20 pm ish on July 19th 2016). Interactive Broker's feed at the same time is more stable. I do not understand the tech-ness of front-running or other special effects, but I would believe that such scenarios can only hurt the retail trader. This point is not a question, but just a comment in reference to my original question.
