|
PureBytes Links
Trading Reference Links
|
agreed. It is interesting if a method still works when commisions are
doubled. Some methods walk on a thin line, I agree.
Well I solved my initial problem (Interactive Brokers commissions) by
using round lot sizes of 100. The commission applied is therefor
right or a little too high but pretty close to "reality".
regards, Ed
--- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
<serkhoshian777@xxxx> wrote:
> 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,
> Gary
>
> ed2000nl <pablito@xxxx> 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,
> > >
> > > Ed
>
>
> Yahoo! Groups Sponsor
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> 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.
>
>
> ---------------------------------
> Do you Yahoo!?
> Protect your identity with Yahoo! Mail AddressGuard
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs Online - Over 14,500 titles.
No Late Fees & Free Shipping.
Try Netflix for FREE!
http://us.click.yahoo.com/xlw.sC/XP.FAA/3jkFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send 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 http://docs.yahoo.com/info/terms/
|