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On my
personal trading, I only pay $4 commission on unlimited shares. But
that isn't the point.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>1. In the case of a managed fund, I either pay 0.2% and take my
chance on slippage or I can pay 1% and be guaranteed any number of shares at the
official open price.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>2. NO PRIMARY BROKER will do business with a fund based on a
fixed-dollar commission. The rate that I can pay (if I choose
to) of 0.2% is average to good in the industry.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>3. In any event, 1% combined commission and slippage is not
much to consider when backtesting a system over multiple
years.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>4. If you have a pure mechanical system that you are ACTUALLY
trading on the open and ON AVERAGE you are getting slippage and
commission on $50,000 to $100,000 orders of less than 1%, I would be very
impressed. Especially on the short side. It's easy
enough to see. Just compare your fill prices with the official open
price. It is, after all, the official open price that you are using to
measure the performance of a system when backtesting... not your fill
price.
<FONT
size=2><FONT face=Arial
color=#0000ff>
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<SPAN
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<SPAN
class=586231900-08072003> -----Original Message-----From:
Yuki Taga [mailto:yukitaga@xxxxxxxxxxxxx]Sent: Monday, July 07, 2003
8:19 PMTo: uenal.mutlu@xxxxxxxxxxxSubject: Re: [amibroker]
Re: I'm looking for a trading system to purchase!
<BLOCKQUOTE
>umtod>
Hmm. I must admit I've overlooked that one requirement inumtod> Chuck's
list. I'll have to redo my calculations. One of myumtod> brokers
(Datek/Ameritrade) takes only $11 per order for anyumtod> number
of shares, so the cited 1% is indeed too much I wouldumtod> say.
UenalWay too much. I pay the equivalent of US$6.60 one way for
any size.If anyone is paying 1 percent, they are being
hammered.YukiSend
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