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Jonathan,
> its a relatively primtive first attempt for me,
> but i havent tried it on any others, i realise its not millions per annum
> but the equity stream was steady and consistent.
> my eyes ache.. all comments welcomed. JSD.
>
> data used bridge end of day,
I am reading this late so maybe you've already gotten the requested answer,
nevertheless...
1. If your system opens/closes positions on the close (MOC orders) then slippage is
minimal; if it is a breakout system you should account for higher slippage.
2. If you are not using a backward adjusted historical data file then you're going to
have bad surprises in real trading... Typically CRB doesn't adjust. :-(
The point is that on any rollover day (4 times yearly) there may be a gap to distort
your system's rules _and_ profits. So be aware.
Alberto Torchio
Torino, Italy
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