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Hi Chuck,
Tuesday, July 8, 2003, 9:29:32 AM, you wrote:
CR> 4. If you have a pure mechanical system that you are ACTUALLY
CR> trading on the open and ON AVERAGE you are getting slippage and
CR> commission on $50,000 to $100,000 orders of less than 1%, I would
CR> be very impressed. Especially on the short side. It's easy
CR> enough to see. Just compare your fill prices with the official
CR> open price. It is, after all, the official open price that you
CR> are using to measure the performance of a system when
CR> backtesting... not your fill price.
Afraid I don't understand. Maybe it is different than in Japan. When
I trade on the open, regardless of size, my order is going to be
filled at the printed opening price. All of it. Every time. There
is no slippage possible in that case here.
Yuki
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