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Ed,
I thought the same thing before going down this road. Going back to my Army days, we were always taught to plan and adjust for most likely and most dangerous enemy scenarios.
You may be right that the most likely scenario is no slippage, but if the wheels fall off your system when adding a reasonable amount of slippage then the most dangerous scenario of slippage could be a real dealbreaker. It only takes a moment. So, this extra step asks little, but potentially offers a lot of insight.
FWIW,
Garyed2000nl <pablito@xxxxxxx> wrote:
hi,my feeling is to use a commission as close to what you actually have to pay. I don't see the point in testing a system using 50$ per trade if I pay between 10 and 30$ per trade.I don't see that I need to include slippage in my simulation. First, I trade heavily traded stocks and the spread is small. Also in my current simulations (using EOD data) I enter a trade at the open the day after a signal and I exit at the open as well. In practice there would be no reason to assume that I would always pay a few cents more than the open price. I could pay a few cents less. I would say the effect averages out.regards, Ed --- In amibroker@xxxxxxxxxxxxxxx, "bmx888" <bmx888@xxxx> wrote:> it's better to take $50 each way for commission and slippage. > Execution is large part of a trading plan and you
have to take into > account slippage.> > --- In amibroker@xxxxxxxxxxxxxxx, "ed2000nl" <pablito@xxxx> wrote:> > hi,> > > > maybe I am asking too much but I can always try .... for commision > > settings I currently use 0.01$ per share (trading with Iinteractive > > Brokers). However, if I buy 211 shares I will have to pay 3$ and > not > > 2.11. Also one pays 0.01$ per share trading below 500 shares and > only > > 0.005$ above 500 shares.> > > > So for 1000 shares I would pay 7.5$ commission. For 1150 shares I > > would have to pay 8.5$. In the simulation it would charge 11.5$.> > > > I wonder if such a feature could be added? > > > > thanks,> > > > EdSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx-----------------------------------------Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
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