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Rick,
As the size of a trade
increases slippage becomes more real. For the most part, I think 2.5 cents
per trade will cover commissions (equity) and then factor in ten cents per share
for execution.
Short positions are nastier, uptick rule and all
that jazz.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A href=""
title=RickParsons@xxxx>Rick Parsons
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Friday, April 19, 2002 9:22
AM
Subject: RE: [amibroker] Slippage &
Slop
<FONT color=#0000ff face="ComicSans MS"
size=2>Steve,
<FONT color=#0000ff
face="Comic Sans MS" size=2>
<FONT color=#0000ff
face="Comic Sans MS" size=2>Good question. Of course no one cantell
what a stock is going to do.
<FONT color=#0000ff
face="Comic Sans MS" size=2>
<FONT color=#0000ff
face="Comic Sans MS" size=2>I haven't seen any good or accurate way to
calculate slippage. It can be in one's favor also. But slippage in
a backtest is always not in one's favor. Basically if one has a
slippage amount in their trading system and the trading system remains
profitable, that is just one more indication that the system is
robust.
<FONT color=#0000ff
face="Comic Sans MS" size=2>
<FONT color=#0000ff
face="Comic Sans MS" size=2>I once found a website similar to yours which
boasted a terrific record. They stated the results do not include
slippage and commissions. So I copied their track record to Excel and
added some slippage and commissions and selected a position size that I would
have used. Guess what? At my selected postionsize, a $15
commission made all but 3 of their stocks lose money ! The only wayto
overcome this was to trade a very large number of shares so the
profits would overcome the commissions.
<FONT color=#0000ff
face="Comic Sans MS" size=2>
<FONT color=#0000ff
face="Comic Sans MS" size=2>Percentage slippage is probably a better way to go
than a fixed amount. Let's say one uses a fixed slippage of $25.
If one trades a positionsize of $1000 and makes a 5% profit of $50, then the
$25 fixed slippage is 50%of his profit. If one trades a positionsize of
$10000 and makes a 5% profit of $500, then the $25 fixed slippage is 5% of his
profit. So in this case a fixed slippage amount does not stress the
system test in equal ways among different positions sizes. Percentage
Slippage would be more realistic among different position sizes. What
percentage to use is a question each would have to decide on his
own.
<FONT color=#0000ff
face="Comic Sans MS" size=2>
<FONT color=#0000ff
face="Comic Sans MS" size=2>BTW: I find the indicators on your website,
especially the CMO to be able to handle slippage quite well in
backtesting.
<FONT color=#000080 face="Vladimir Script"
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Karnish
[mailto:kernish@xxxx]Sent: Friday, April 19, 2002 9:49
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Slippage & Slop
Rick,
The slippage question is constantly
debated. About the only concrete premise is that you WILL incur
slippage. So, in your example, does that mean if you trade a 100 or
10000 share of a ten dollar stock....that your slippage will be only 10
cents?
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A href=""
title=RickParsons@xxxx>Rick Parsons
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 18, 20028:16
PM
Subject: RE: [amibroker] Slippage
& Slop
<FONT color=#0000ff
face="Comic Sans MS" size=2>If one's target price is $100 and
the trade actually takes place at $101, that's 1% slippage or $1 per
share. If you trade 100 shares or 1000 shares, 1% will be $1 per
share either way.
<FONT color=#0000ff
face="Comic Sans MS" size=2>
<FONT color=#0000ff
face="Comic Sans MS" size=2>Correct me if I'm thinking wrong here
!
<FONT color=#000080 face="Vladimir Script"
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Karnish [<A
href="">mailto:kernish@xxxx]Sent:
Thursday, April 18, 2002 4:17 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Slippage
& Slop
Rick,
"since slippage is better calculated as a
percentage of the trade."
Why so?
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A href=""
title=RickParsons@xxxx>Rick Parsons
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 18, 2002
10:10 AM
Subject: [amibroker] Commission
and Slippage
<SPAN
class=790200616-18042002><FONT color=#0000ff
face="Comic Sans MS" size=2>This has been discussed before but I would
like to add some comments on this
subject.
<SPAN
class=790200616-18042002><FONT color=#0000ff
face="Comic Sans MS" size=2>Using a fixed commission from the
portfolio module is not accurate since slippage is better calculated
as a percentage of the trade.
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>Using a percentage Commission in Settings is
not accurate since commissions are
fixed.
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>Tomasz, would it be best to have both:
a fixed amount for commissions and a percentage field for
slippage. These would be combined to give a more accurate trade
cost.
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>Thanks,
<FONT
color=#0000ff><FONT
color=#0000ff><SPAN
class=790200616-18042002>RickYour
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