What was the edge? Well, the goals were to get a 50% win rate (at the time, I didn’t know about the course #1, or anything else I teach you here), AND to have my wins 0.4% bigger than my losses. Overtime, and with compounding, the results were great.
One particularity of this strategy is that I never had the stop loss on the exchange. Why? Because many times, there is a fake move, lasting one or two minutes, sweeping the SL and then going back to normal. If I had a SL on the exchange, I would obviously get stopped. So my algo was waiting on the current bar to close, to validate the signal and if it was under the SL, then it would send a market order to exit.
After running it for a few weeks, I could not understand why my 3Commas transaction report would show negative red trades, while on my TradingView algo, everything was in green. I did some digging and I found 3 things:
1 - first of all, each time I would exit the trade, a market order is generated and I lose 0.075% (Bybit trading fee).
2 - Second, the time spent between TradingView sending the signal to 3C and then 3C to send the signal to Bybit, was enormous – by the time the order arrived on the exchange, the price had moved a little bit. Another 0.07 or 0.08% at least against me.
3 - Sometimes, if this would happen exactly during a massive move, the order book would get super full, and then instead of getting the Long or Short contract at the price I want, I would get whatever is available from other traders … another 0.05+ % against me. Have you ever noticed your exact entry or exit price, does not match exactly the wick you see on the chart? Or, exactly the limit you set up? This is what I am talking about – when there are too many people, too much volume, many transactions, you only get what you get from the system.
So, to recap, at each exit at loss (which was in theory 50% of the time), I would lose at least and on average 0.06% x 3 = 0.18%. Point #1 is the fee and Points #2 and #3 are what I called my slippage.
**Side note – usually on the exit at win, I would get point#2 and point#3 against me.
You may think, 0.18% is nothing right? (on another side note, did you know that 3Commas had this devil feature of accounting for a 0.15% trading fee when it trades? The goal is to “take into account the trading fee”, so basically if you don’t pay attention, you don’t see it and don’t calculate it. You grow your account with 0.15% less.). Back to our subject, 0.18% lost is not a lot right?
That is correct, 0.18 is nothing. But look below when you actually plug the numbers: