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Steve,
0.25 is just for the example. To repeat the calculations, change
temporarily your usual settings. [I think 0.5 is closer to reality].
Some people were shouting here when I was using 0.5 as a standard
reference and I adjusted it to 0.25.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
>
>
> >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.
>
> Ameritrade
> Date Ticker No. Ave Price Open Slippage Slip+Comm
> 10/29/2003 AKSY 1300 8.437 8.41 0.32% 0.42%
> 10/29/2003 BCGI 1200 9.121 8.99 1.45% 1.55%
> 10/29/2003 OSTE 1300 8.117 8.05 0.83% 0.94%
>
>
>
>
> Interactive Brokers
> Date Ticker No. Ave Price Open Slippage Slip+Comm
> 2003-10-29, 09:30:05 BONZ 200 11.63 11.62 0.09% 0.17%
> 2003-10-29, 09:30:52 COB 1000 10.80 10.8 0.00% 0.07%
> 2003-10-29, 09:30:28 SLNK 700 16.652 16.54 0.68% 0.73%
>
>
>
> 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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