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In backtesting it was simulated using limit orders.
As you might know there is no slippage with limit orders.
Commission 11 per single trade for an unlimited nbr
of shares (ie. Ameritrade rates), inital capital was 25k.
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, November 03, 2003 9:10 PM
Subject: [amibroker] Re: On Robustness, Post #2
> At what combined commission and slippage rate so we have a clue
> exactly how REAL it is ?
>
> > A real example:
> > The system xxSys005 has the following data:
> > pWinRate = 0.64
> > pProfitRate = 0.82
> > ER = (0.64 * 0.82) / (0.64 * 0.82 + (1 - 0.64) * (1 - 0.82)) = 0.89
> > That means: this system makes up 89% of an ideal system.
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