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What you wrote realy sometimes feels as if it was the truth. Whatever system
you have, margins from it are decreasing until the competition is made by
having small costs rather than a good system. Then you find a new one...
But I wold say not counting comissions when doing a system is causing you
unneccessary grief. Many system seems profitable without comissions but
should not be traded when real costs are involved. Slippage, well that falls
more into your idea below, because it is harder to get right.
> -----Original Message-----
> From: Jack Griffin [mailto:jack_2231@xxxxxxxxx]
> Sent: den 10 september 2001 18:46
> To: Bob Fulks; tszz@xxxxxxxxx
> Cc: Omega-list@xxxxxxxxxx
> Subject: Re: How to evaluate Commission & Slippage Precisely
>
>
> --- 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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