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<FONT face="Comic Sans MS" color=#0000ff
size=2>Steve,
<FONT face="Comic Sans MS"
color=#0000ff size=2>
<FONT face="Comic Sans MS"
color=#0000ff size=2>Good question. Of course no one can tell what a stock
is going to do.
<FONT face="Comic Sans MS"
color=#0000ff size=2>
<FONT face="Comic Sans MS"
color=#0000ff size=2>I haven't seen any good or accurate way to calculate
slippage. It can be in one's favor also. But slippage in a backtest
is always not in one's favor. Basically if one has a slippage amount
in their trading system and the trading system remains profitable, that is just
one more indication that the system is robust.
<FONT face="Comic Sans MS"
color=#0000ff size=2>
<FONT face="Comic Sans MS"
color=#0000ff size=2>I once found a website similar to yours which boasted a
terrific record. They stated the results do not include slippage and
commissions. So I copied their track record to Excel and added some
slippage and commissions and selected a position size that I would have
used. Guess what? At my selected postionsize, a $15 commission
made all but 3 of their stocks lose money ! The only way to overcome this
was to trade a very large number of shares so the profits would
overcome the commissions.
<FONT face="Comic Sans MS"
color=#0000ff size=2>
<FONT face="Comic Sans MS"
color=#0000ff size=2>Percentage slippage is probably a better way to gothan a
fixed amount. Let's say one uses a fixed slippage of $25. If one
trades a positionsize of $1000 and makes a 5% profit of $50, then the $25 fixed
slippage is 50%of his profit. If one trades a positionsize of $10000 and
makes a 5% profit of $500, then the $25 fixed slippage is 5% of his
profit. So in this case a fixed slippage amount does not stress the system
test in equal ways among different positions sizes. Percentage Slippage
would be more realistic among different position sizes. What percentage to
use is a question each would have to decide on his
own.
<FONT face="Comic Sans MS"
color=#0000ff size=2>
<FONT face="Comic Sans MS"
color=#0000ff size=2>BTW: I find the indicators on your website,
especially the CMO to be able to handle slippage quite well in
backtesting.
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Karnish
[mailto:kernish@xxxx]Sent: Friday, April 19, 2002 9:49
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Slippage & Slop
Rick,
The slippage question is constantly
debated. About the only concrete premise is that you WILL incur
slippage. So, in your example, does that mean if you trade a 100 or
10000 share of a ten dollar stock....that your slippage will be only 10
cents?
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=RickParsons@xxxx
href="">Rick Parsons
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 18, 2002 8:16
PM
Subject: RE: [amibroker] Slippage &
Slop
<FONT face="Comic Sans MS" color=#0000ff
size=2>If one's target price is $100 and the trade actually
takes place at $101, that's 1% slippage or $1 per share. If you trade
100 shares or 1000 shares, 1% will be $1 per share either
way.
<FONT face="Comic Sans MS"
color=#0000ff size=2>
<FONT face="Comic Sans MS"
color=#0000ff size=2>Correct me if I'm thinking wrong here
!
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Karnish [<A
href="">mailto:kernish@xxxx]Sent:
Thursday, April 18, 2002 4:17 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Slippage
& Slop
Rick,
"since slippage is better calculatedas a
percentage of the trade."
Why so?
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=RickParsons@xxxx
href="">Rick Parsons
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 18, 2002
10:10 AM
Subject: [amibroker] Commission and
Slippage
<SPAN
class=790200616-18042002><FONT face="Comic Sans MS"
color=#0000ff size=2>This has been discussed before but I wouldlike to
add some comments on this
subject.
<SPAN
class=790200616-18042002><FONT face="Comic Sans MS"
color=#0000ff size=2>Using a fixed commission from the portfolio module
is not accurate since slippage is better calculated as a percentageof
the trade.
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>Using a percentage Commission in Settings is
not accurate since commissions are
fixed.
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>Tomasz, would it be best to have both: a
fixed amount for commissions and a percentage field for slippage.
These would be combined to give a more accurate trade
cost.
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>Thanks,
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>RickYour
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