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--- "Chuck Rademacher" <chuck_rademacher@x> wrote:
> In the case of slippage, however, it would be even
> better (again IMO) to be able to specify a different
> percentage depending on the price. I think you would
> agree that lower priced stocks are likely to
> have higher slippage.
Although I am a very green learner with respect to what can and can
not be done with these new backtesters (Fred and UM have done some
amazing work), here is an idea that works in regular AFL.
First, set AB's commission settings to 0 (zero). Then use the
following code modified to your own assumptions about slippage.
//***************************************************
slippage = 0.50 + 2/open;
BuyPrice = CoverPrice = Open * (1 + slippage/100);//
SellPrice = ShortPrice = Open * (1 - slippage/100);//
/***************************************************
Code above will give a minimum slippage of 0.25% and
then increases the slippage estimate as an inverse of
price.
A $100 stock will have slippage of 0.52%
A $10 stock will have slippage of 0.70%
A $1 stock will have slippage of 2.50%
A 50 cent stock will have slippage of 4.5%
****************************************************/
b
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