extreme-os modification (2)

As I wrote earlier this week, I think I found a rule that will allow me to get a better exit for extreme-os, compared to the exit signals issued by the vendor (taking into account that the latter generate substantial slippage).

As I explained, this week and next week will serve as an experimental phase in which I will try the new exit strategy on a dozen of trades to see if it works in practice.

Today I was able to execute the first 4 trades using the new exit rule, and it seems to work well. On average I had a better exit price than the hypothetical fills shown by C2. Whereas my fills previously on average were 0.16% worse than the C2 fills, my fills using the new exit rule so far have been better on average than the ones shown by C2.

So, I'll continue the experiment next week and keep you updated.