Posted By: simonkrebs
Question regarding transaction costs - 04/15/21 08:34
Hi,
I'm testing the following script and I've encountered a problem: the transaction costs (787 trades / $16758 total costs = $21 per trade) in the performance report (especially rollover costs -> $12155) seem way too high to me. Especially compared to the costs that are shown to me in the Z12 (4807 trades / $8864 total costs = $1.9 per trade) script.
Here is the source code of the script:
Here is my asset list:
Here is the Performance Report:
For comparison the performance report with Z12 script (same asset list, same time period):
Can anyone see what is causing the high transaction costs in the script?
Greetings and thanks for your help,
Simon
I'm testing the following script and I've encountered a problem: the transaction costs (787 trades / $16758 total costs = $21 per trade) in the performance report (especially rollover costs -> $12155) seem way too high to me. Especially compared to the costs that are shown to me in the Z12 (4807 trades / $8864 total costs = $1.9 per trade) script.
Here is the source code of the script:
Code
function tradeCounterTrend()
{
TimeFrame = frameSync(4);
vars Prices = series(price());
vars Cycles = series(BandPass(Prices,30,2));
vars Signals = series(FisherN(Cycles,500));
var Threshold = optimize(1,0.8,1.2,0.1);
LifeTime = 4*optimize(100,50,150,10);
Trail = Stop = optimize(10,4,20,2)*ATR(100);
MaxLong = MaxShort = -1;
var Regime = FractalDimension(Prices,100);
var RegimeThreshold = optimize(1.5,1.3,1.7,0.1);
if(Regime > RegimeThreshold)
{
if(crossUnder(Signals,-Threshold))
enterLong();
else if(crossOver(Signals,Threshold))
enterShort();
}
}
function tradeTrend()
{
TimeFrame = 1;
vars Prices = series(price());
vars Trends = series(Laguerre(Prices,optimize(0.05,0.02,0.15,0.01)));
Stop = optimize(10,4,20,2)*ATR(100);
Trail = 0;
LifeTime = 0;
MaxLong = MaxShort = -1;
var MMI_Period = optimize(300,100,400,100);
vars MMI_Raws = series(MMI(Prices,MMI_Period));
vars MMI_Avgs = series(SMA(MMI_Raws,MMI_Period));
if(falling(MMI_Avgs)) {
if(valley(Trends))
enterLong();
else if(peak(Trends))
enterShort();
}
}
function run()
{
set(PARAMETERS+FACTORS+LOGFILE+TESTNOW+PLOTNOW);
StartDate = 2010; // further back due to WFO
EndDate = Now; // fixed simulation period
BarPeriod = 60; // 1 hour bars
LookBack = 4*500; // needed for FisherN()
Capital = 10000;
if(Train) Detrend = TRADES;
assetList("AssetsGP-org");
NumWFOCycles = 10; // activate WFO
NumCores = -1; // multicore training (Zorro S only)
ReTrainDays = 147;
if(ReTrain) {
UpdateDays = -1; // update price data from the server
SelectWFO = -1; // select the last cycle for re-optimization
reset(FACTORS);
}
// portfolio loop
for(listed_assets) {
while(algo(loop("TRND","CNTR"))) {
asset(Asset);
// method 1: invest 1% of the balance in any trade
//Margin = 0.01 * (Capital + ProfitClosed);
// method 2: invest 50% of Optimal-F
//Margin = 0.5 * OptimalF * (Capital + ProfitClosed);
// method 3: invest the square root of the component profit
Margin = 0.5 * OptimalF * Capital * sqrt(1 + ProfitClosed/Capital);
if(Algo == "TRND")
tradeTrend();
else if(Algo == "CNTR")
tradeCounterTrend();
}
}
}Here is my asset list:
Code
Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol AUD/USD,0.72503,0.00003,0.0241,-0.0581,0.0001,0.1,-1,0,1000,0.8,AUD/USD EUR/CHF,1.1304,0.00011,0.0694,-0.1845,0.0001,0.101,-1,0,1000,0.8,EUR/CHF EUR/USD,1.1702,0.00003,-1.1774,0.4444,0.0001,0.1,-1,0,1000,0.8,EUR/USD GBP/USD,1.3189,0.00009,-0.7095,0.2335,0.0001,0.1,-1,0,1000,0.8,GBP/USD USD/CAD,1.2951,0.00008,0.1074,-0.2356,0.0001,0.076,-1,0,1000,0.8,USD/CAD USD/CHF,0.96595,0.00009,0.6245,-0.9765,0.0001,0.101,-1,0,1000,0.8,USD/CHF USD/JPY,112.37,0.005,0.3485,-0.924,0.01,0.09,-1,0,1000,0.8,USD/JPY XAG/USD,14.18,0.008,-0.003,0.00138,0.01,0.5,-1,0,50,0.8,XAG/USD XAU/USD,1202.74,0.05,-0.0121,0.00275,0.01,0.01,-1,0,1,0.8,XAU/USD GER30,12181.07,1.27,-0.32,-0.08,0.01,0.011702,-1,0,1,0.8,GER30 NAS100,7498.5,1.6,-0.54,0.06,0.01,0.01,-1,0,1,0.8,NAS100 SPX500,2905.3,0.4,-0.59,0.06,0.01,0.01,-1,0,1,0.8,US500 UK100,7294.1,2,-0.6,0.32,0.01,0.013188,-1,0,1,0.8,UK100 US30,26283.3,2.5,-1.46,0.12,0.01,0.01,-1,0,1,0.8,US30
Here is the Performance Report:
Code
WFA Test Test Simulated account AssetsGP-org Bar period 1 hour (avg 86 min) Total processed 98854 bars Simulation period 2010-05-03..2021-04-14 (66302 bars) Test period 2014-07-22..2021-04-14 (40685 bars) Lookback period 2000 bars (17 weeks) WFO test cycles 9 x 4520 bars (38 weeks) Training cycles 10 x 25617 bars (220 weeks) Montecarlo cycles 200 Simulation mode Realistic (slippage 5.0 sec) Capital invested 10000$ Gross win/loss 172524$ / -133319$ (+143168p) Average profit 5825$/year, 485$/month, 22.40$/day Max drawdown -17516$ 44.7% (MAE -18534$ 47.3%) Total down time 59% (TAE 99%) Max down time 74 weeks from Jan 2019 Max open margin 3602$ Max open risk 9422$ Trade volume 24771238$ (3680543$/year) [b]Transaction costs -1857$ spr, -410$ slp, -12155$ rol, -2336$ com[/b] Capital required 3109$ Number of trades 787 (117/year, 2/week) Percent winning 46.0% Max win/loss 8193$ / -1618$ Avg trade profit 49.82$ 181.9p (+1740.4p / -1145.5p) Avg trade slippage -0.52$ -1.9p (+16.5p / -17.5p) Avg trade bars 342 (+424 / -272) Max trade bars 3189 (27 weeks) Time in market 663% Max open trades 11 Max loss streak 11 (uncorrelated 11) Annual growth rate 26.71% Profit factor 1.29 (PRR 1.17) Sharpe ratio 0.70 (Sortino 0.75) R2 coefficient 0.000 Ulcer index 14.2% Scholz tax 27041 EUR
For comparison the performance report with Z12 script (same asset list, same time period):
Code
WFA Test Z12 (TICKS) Simulated account AssetsGP-org Bar period 4 hours (avg 338 min) Total processed 24044 bars, 184654056 ticks Simulation period 2010-04-29..2020-12-24 (16561 bars) Test period 2013-09-26..2020-12-24 (11238 bars) Lookback period 500 bars (16 weeks) WFO test cycles 19 x 591 bars (19 weeks) Training cycles 20 x 5323 bars (178 weeks) Montecarlo cycles 200 Simulation mode Realistic ticks (slippage 5.0 sec) Gross win/loss 108085€ / -74941€ (+1198083p) Virtual win/loss 115521€ / -82039€ Average profit 4576€/year, 381€/month, 17.60€/day Max drawdown -2976€ 9.0% (MAE -3149€ 9.5%) Total down time 67% (TAE 95%) Max down time 24 weeks from Oct 2018 Max open margin 1300€ Max open risk 650056€ Trade volume 18149080€ (2505904€/year) [b]Transaction costs -1272€ spr, -2.64€ slp, -5650€ rol, -1940€ com[/b] Capital required 3215€ Number of trades 4807 (664/year, 13/week, 3/day) Percent winning 51.3% Max win/loss 926€ / -924€ Avg trade profit 6.89€ 249.2p (+1583.1p / -1158.2p) Avg trade slippage -0.0005€ -0.0p (+19.3p / -20.4p) Avg trade bars 41 (+44 / -38) Max trade bars 1204 (40 weeks) Time in market 1792% Max open trades 41 Max loss streak 21 (uncorrelated 12) Annual return 142% Profit factor 1.44 (PRR 1.38) Sharpe ratio 1.29 (Sortino 1.34) Kelly criterion 1.16 Annualized StdDev 111.13% R2 coefficient 0.920 Ulcer index 3.0% Scholz tax 8742 EUR Cycle performance 1.35 1.48 1.48 1.46
Can anyone see what is causing the high transaction costs in the script?
Greetings and thanks for your help,
Simon