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<FONT face=Arial color=#0000ff
size=2>Excellent, b.
<FONT face=Arial color=#0000ff
size=2>
I
hadn't thought of doing that in AFL, although it is what I do in my Delphi
application.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Hopefully Fred and Uenal will be able to do something similar.... no
rush.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: b519b
[mailto:b519b@xxxxxxxxx]Sent: Thursday, June 19, 2003 5:49
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Slippage/Commission - Sliding scale - AFL code---
"Chuck Rademacher" <chuck_rademacher@x> wrote:> 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.Although I am a very green learner with respect to
what can and can not be done with these new backtesters (Fred and UM have
done some amazing work), here is an idea that works in regular
AFL.First, set AB's commission settings to 0 (zero). Then use the
following code modified to your own assumptions about
slippage.//***************************************************slippage
= 0.50 + 2/open; BuyPrice = CoverPrice = Open * (1 +
slippage/100);//SellPrice = ShortPrice = Open * (1 -
slippage/100);///***************************************************Code
above will give a minimum slippage of 0.25% and then increases the
slippage estimate as an inverse ofprice.A $100 stock will have
slippage of 0.52%A $10 stock will have slippage of 0.70%A $1 stock
will have slippage of 2.50%A 50 cent stock will have slippage of
4.5%****************************************************/bSend
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