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There have been a few posts here lately about calculating
commission/slippage. "b" came up with some excellent suggestions and a few
of us made extensions to his ideas.
Unfortunately, it appears that we can't set BuyPrice, SellPrice, etc. when
using rotational mode portfolio backtesting. Has anyone come up with a way
to dynamically adjust slippage when using rotational mode?
I can't use the "use portfolio commission table" feature as it simply DOES
NOT work with backadjusted prices.
This will give you an idea of what I would like to be able to do (it works
in non-rotational mode):
Slippage = Close * IIf(actualClose > 4, 0.01,
IIf(ActualClose > 10, 0.005,
0.0133));
BuyPrice = Open + Slippage;
SellPrice = Open - Slippage;
I have shortened the above code for simplicity.
Thanks for any suggestions you may be able to offer.
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