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There's also no guarantee they get filled which on the trade entry
side might not be a horrible thing, on the exit however ...
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> 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@xxxx>
> 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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