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--- Bob Fulks <bfulks@xxxxxxxxxxxx> wrote:
> At 12:02 AM +0200 9/9/01, tszz@xxxxxxxxx wrote:
>
> >I'd like to know how to evaluate Commission &
> Slippage precisely in order
> >to enter the right value into my TradeStation
> "trade costs" Strategies.
>
> The best way I have found to estimate the slippage
> is to see how far
> the market moves between when you get the tick that
That is the complex way. Here is the simple way:
Set commission and slippage to zero. Optimize your
system. Take profit of best model. Divide by # of
trades. The number you are left with is your
commission and slippage!
While I say this in jest, there is some truth to it:
if a system is profitable it is only a matter of time
before someone else starts doing it (thereby cutting
profits down in proportion to the net capital
employed) UNLESS it really isn't profitable after all
(due to slippage and commissions for instance).
Jack
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