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Leaving PT as it is for commissions i.e. with the ability to specify
either $ or % and then adding slippage is no big deal. Another 6
lines of code. I would have done it this morning but I was in a rush.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> You are absolutely correct, Fred. But you already knew that much.
>
> That's why I prefer to use percentages for commision. By doing
so, I am
> able to build in slippage. Since I am guaranteed to be filled at
the open
> price, it's easier for me to simply use 1% for commissions. If I
didn't
> have that ability (guaranteed open price), I would probably use 1
to 2%
> since that would cover 0.2 to 0.5% commission and adequate (IMO)
slippage.
>
> Forgetting about how difficult it would be to program, it would be
ideal
> (IMO) to be able to specify commission as dollars or percentage and
slippage
> in percentage terms. In the case of slippage, however, it would
be even
> better (again IMO) to be able to specify a different percentage
depending on
> the price. I think you would agree that lower priced stocks are
likely to
> have higher slippage.
>
> Since we cannot forget about programming difficulty (and ability
for users
> to be able to drive the darn thing), I feel that using a percentage
at least
> gives the user the ability to be a little creative. I can look at
my
> trades, for instance, and determine the average price. I can then
use a
> commission/slippage rate that might apply to that average.
>
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Thursday, June 19, 2003 3:47 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: PORTFOLIO TRADER v1.04
>
>
> IMHO from the individual traders perspective, slippage is a more
> important issue than commissions. For larger individual traders
> commissions are usually either measured in fixed dollar amounts
or in
> much smaller percentages than 0.5% and as such can almost be
> ignored. Slippage however is a different ball game and is not so
> easily ignored for stock traders.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > Thanks, Fred. That's a very important feature to me. Nice
to be
> greeted
> > with such good news as I'm just getting out of bed.
> >
> > I see a lot of people in these various Yahoo groups run
backtests
> with zero
> > commission. IMO, doing so can greatly favour a system that may
> trade too
> > frequently. Obviously, it's a personal thing. I always
prefer
> to run
> > with realistic or pessimistic commission/slippage charges.
> > -----Original Message-----
> > From: Fred [mailto:fctonetti@x...]
> > Sent: Thursday, June 19, 2003 9:09 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] PORTFOLIO TRADER v1.04
> >
> >
> > Added the ability to factor in commission and/or slippage
costs in
> > terms of dollars or percent.
> >
> >
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