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>It's too easy to find stuff that passes with 0
commissions/slippage>and then you get disappointed when you add it in
later and the system>falls apart. I recommend you use at least .5%,
preferably more.
Mark,
Interesting point. I was wondering why I couldn't reproduce
Dimitris results for the CMO5 system. I realized that I had commissions set at
1%, Dimitris uses 0.25%. I thought I'd look at my latest attempts to buy at the
open. Here they are, but notice:
These are quite illiquid small cap stocks.
I used Ameritrade for the low priced stocks, IB for the higher
priced stocks (to optimise commissions).
IB's MOO system mean't that some orders weren't filled (only
200 BONZ, instead of the 1000 I wanted).Ameritrade filled all the
orders.
<TABLE cellSpacing=0
cellPadding=0 width=665 border=0 x:str>
<COL
width=145>
<COL
width=93>
<COL
width=67>
<COL
width=80>
<COL
width=88>
<TD class=xl26
width=145 height=18>Ameritrade
<TD class=xl27
width=64>
<TD class=xl27
width=64>
<TD class=xl27
width=93>
<TD class=xl27
width=67>
<TD class=xl27
width=80>
<TD class=xl28
width=88>
<TD class=xl24
width=64>
<TD class=xl37
height=18>Date
<TD class=xl38
><FONT
face=Arial size=2>Ticker
<TD class=xl38
><FONT
face=Arial size=2>No.
<TD class=xl38
><FONT
face=Arial size=2>Ave Price
<TD class=xl38
><FONT
face=Arial size=2>Open
<TD class=xl38
><FONT
face=Arial size=2>Slippage
<TD class=xl39
><FONT
face=Arial size=2>Slip+Comm
<TD class=xl24
><FONT
face=Arial size=2>
<TD class=xl29
height=17>10/29/2003
<TD class=xl24
><FONT
face=Arial size=2>AKSY
<TD class=xl24
x:num>1300
<TD class=xl36
x:num="8.4369230769230761">8.437
<TD class=xl24
x:num>8.41
<TD class=xl25
x:num="3.2013171133265087E-3">0.32%
<TD class=xl30
x:num="4.1999999999999997E-3">0.42%
<TD class=xl24
><FONT
face=Arial size=2>
<TD class=xl29
height=17>10/29/2003
<TD class=xl24
><FONT
face=Arial size=2>BCGI
<TD class=xl24
x:num>1200
<TD class=xl36
x:num="9.1205416666666661">9.121
<TD class=xl24
x:num>8.99
<TD class=xl25
x:num="1.452076381164248E-2">1.45%
<TD class=xl30
x:num="1.55E-2">1.55%
<TD class=xl24
><FONT
face=Arial size=2>
<TD class=xl31
height=18>10/29/2003
<TD class=xl32
><FONT
face=Arial size=2>OSTE
<TD class=xl32
x:num>1300
<TD class=xl33
x:num="8.1169230769230776">8.117
<TD class=xl32
x:num>8.05
<TD class=xl34
x:num="8.3134257047300444E-3">0.83%
<TD class=xl35
x:num="9.4000000000000004E-3">0.94%
<TD class=xl24
>
<TD class=xl24
height=17>
<TD class=xl24
>
<TD class=xl24
>
<TD class=xl24
>
<TD class=xl24
>
<TD class=xl25
>
<TD class=xl24
>
<TD class=xl24
>
<TABLE cellSpacing=0
cellPadding=0 width=665 border=0 x:str>
<COL
width=145>
<COL
width=93>
<COL
width=67>
<COL
width=80>
<COL
width=88>
<TD class=xl24
width=145 height=18>
<TD class=xl24
width=64>
<TD class=xl24
width=64>
<TD class=xl24
width=93>
<TD class=xl24
width=67>
<TD class=xl25
width=80>
<TD class=xl24
width=88>
<TD class=xl24
width=64>
<TD class=xl26
height=18>Interactive Brokers
<TD class=xl27
><FONT
face=Arial size=2>
<TD class=xl27
><FONT
face=Arial size=2>
<TD class=xl27
><FONT
face=Arial size=2>
<TD class=xl27
><FONT
face=Arial size=2>
<TD class=xl28
><FONT
face=Arial size=2>
<TD class=xl29
><FONT
face=Arial size=2>
<TD class=xl24
><FONT
face=Arial size=2>
<TD class=xl38
height=18>Date
<TD class=xl39
><FONT
face=Arial size=2>Ticker
<TD class=xl39
><FONT
face=Arial size=2>No.
<TD class=xl39
><FONT
face=Arial size=2>Ave Price
<TD class=xl39
><FONT
face=Arial size=2>Open
<TD class=xl39
><FONT
face=Arial size=2>Slippage
<TD class=xl40
><FONT
face=Arial size=2>Slip+Comm
<TD class=xl24
><FONT
face=Arial size=2>
<TD class=xl30
height=17>2003-10-29, 09:30:05
<TD class=xl24
><FONT
face=Arial size=2>BONZ
<TD class=xl24
x:num>200
<TD class=xl24
x:num>11.63
<TD class=xl24
x:num>11.62
<TD class=xl25
x:num="8.605851979347301E-4">0.09%
<TD class=xl31
x:num="1.6999999999999999E-3">0.17%
<TD class=xl24
><FONT
face=Arial size=2>
<TD class=xl30
height=17>2003-10-29, 09:30:52
<TD class=xl24
><FONT
face=Arial size=2>COB
<TD class=xl24
x:num>1000
<TD class=xl32
x:num>10.80
<TD class=xl24
x:num>10.8
<TD class=xl25
x:num="0">0.00%
<TD class=xl31
x:num="6.9999999999999999E-4">0.07%
<TD class=xl24
><FONT
face=Arial size=2>
<TD class=xl33
height=18>2003-10-29, 09:30:28
<TD class=xl34
><FONT
face=Arial size=2>SLNK
<TD class=xl34
x:num>700
<TD class=xl35
x:num="16.652457142857141">16.652
<TD class=xl34
x:num>16.54
<TD class=xl36
x:num="6.7991017446881593E-3">0.68%
<TD class=xl37
x:num="7.3000000000000001E-3">0.73%
<TD class=xl24
>
<TD class=xl24
height=17>
<TD class=xl24
>
<TD class=xl24
>
<TD class=xl24
>
<TD class=xl24
>
<TD class=xl25
>
<TD class=xl24
>
<TD class=xl24
>
What did I learn? Use IB, drop Ameritrade? Buy more liquid
stocks?
I'm sure that for my stock universe, 0.25% commission is just
not enough.
Does anyone have figure for (say) N100 stocks?
Steve
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