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NYSE fees in a Backtest


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NYSE fees in a Backtest

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  #1 (permalink)
Milano
 
 
Posts: 2 since Nov 2010
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Hi guys,

I am currently using 0.003 $/share as Interactivebrokers shows on its tables...
But when testing some strategies back in 1990s or 1980s the fees obviously have a very high impact on the PnL.....(especially stocks were much cheaper and for same % of capital the system trades a bigger size and higher fees.......

But would it not be better to use a % of the ATR for backtests going back to very old data?

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Market Wizard
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jakeglb View Post
Hi guys,

I am currently using 0.003 $/share as Interactivebrokers shows on its tables...
But when testing some strategies back in 1990s or 1980s the fees obviously have a very high impact on the PnL.....(especially stocks were much cheaper and for same % of capital the system trades a bigger size and higher fees.......

But would it not be better to use a % of the ATR for backtests going back to very old data?


The first question is why you would want to include data from the 1980s in your back test. The markets are evolutionary, and the species (trading stratgies) that were well and alive in the 1980s are not the same species that you can find in the jungle of today. So personally I think that such a long period for backtesting has little predictive value.

The markets have been changed. There is increased participation now, which partly invalidates trend following or bereakout strategies, as the new species that developped are exploiting the old ones. So if you do a backtest in a larger timeframe, you may go back about 10 years from now, but not 30. If you do a backtest for smaller timeframes, I would just take a lookback period that allows for a significant number of traders in your backtesting and forward testing period.

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  #3 (permalink)
Milano
 
 
Posts: 2 since Nov 2010
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Fat Tails View Post
The first question is why you would want to include data from the 1980s in your back test. The markets are evolutionary, and the species (trading stratgies) that were well and alive in the 1980s are not the same species that you can find in the jungle of today. So personally I think that such a long period for backtesting has little predictive value.

The markets have been changed. There is increased participation now, which partly invalidates trend following or bereakout strategies, as the new species that developped are exploiting the old ones. So if you do a backtest in a larger timeframe, you may go back about 10 years from now, but not 30. If you do a backtest for smaller timeframes, I would just take a lookback period that allows for a significant number of traders in your backtesting and forward testing period.

Thanks but you did not answer my main point.
Anyway in answer to what you wrote, I am testing ideas on Daily and Weekly data. In particular I am focusing on one (nither Trendfollowing or Bkout or whatever...) that is generating a Level to buy or Sell the next bar and Exit in Close....simply one signal (LMT or STP dpeending on the Open) and exit in the same bar. In order to check its robustness I wanted to see the perf over all the data...and it is wonderful and constant on the whole sp500...but without fees...(the famous 0.003 $/share)....

the same strategy for example works wonderfully (with these fees) on the FTSE Daily since 2000 (I have only data from 2000).

Please comment the fees issues

thanks
Giacomo

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Last Updated on December 11, 2010


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