Transaction Costs?

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Transaction Costs? #423431 05/29/13 16:35 05/29/13 16:35
Joined: Apr 2013 Posts: 107 UK G Geek OP Member
Geek OP Member G Joined: Apr 2013 Posts: 107 UK	Quote: Simulation period 06.01.2009-16.05.2013 Test period 28.08.2010-16.05.2013 WFO test cycles 9 x 77 bars (15 weeks) Training cycles 10 x 436 bars (90 weeks) Lookback time 80 bars (16 weeks) Assumed spread 2.0 pips (roll 3.29/-3.98) Assumed slippage 10.0 sec Contracts per lot 1 Gross win/loss 63230$ / -0.00$ (+74749p) Average profit 23281$/year, 1940$/month, 90$/day Max drawdown -3941$ 6% (MAE -4425$ 7%) Total down time 21% (TAE 34%) Max down time 17 weeks from Feb 2011 Largest margin 1920$ Trade volume 1585563$ (583797$/year) Transaction costs -903$ spr, 101$ slp, 21517$ rol *** Capital required 6062$ Any idea's why the transaction costs for Slippage and Rollover are not negative in my performance report? The manual states that Quote: Slippage and rollover can increase the profit in rare cases; costs are then positive But why is this? Last edited by Geek; 05/29/13 16:35.

Re: Transaction Costs? [Re: Geek] #423460 05/30/13 10:21 05/30/13 10:21
Joined: Jul 2000 Posts: 28,024 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 28,024 Frankfurt	Depending on whether it's a short or long trade, the broker pays you money for keeping a trade open. You can see the broker's rollover fees or payments on his website. So the cost can be in your favor. Same goes for slippage. However, your performance data does not look right. There is no loss and the rollover gain is extremely large - there could be something wrong with that strategy. When you want I can look into it.

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