A.I.M. Users Bulletin Board

[ls7550]

The reason I ask Tim is because of trading costs. The more frequently you trade the higher those costs.

When in an inner price range zone two things can happen. Either the price trends quickly to one of the edges of that zone or the price stays range-bound within that zone for an extended period of time. For the latter using an inner ladder is generally the more rewarding as you capture multiples of smaller trades/small gains as the price bounces around. The former is better suited to not having laddered that inner range as you in effect cost average in multiple smaller (inner zone) ladder steps into a larger single trade.

In concept under random walk conditions the two should counterbalance over time - excluding costs. When costs are considered then there's an apparent bias to having used the less frequent larger trade size approach.

There's a balance. Trade too frequently and costs detract from rewards. Trade too infrequently and you're not capturing as much volatility as you might. With the fixed step ladder and trading at fixed time intervals you in effect fix the trade rate.

Best. Clive.