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How large should transaction costs be for backtesting futures?
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How large should transaction costs be for backtesting futures?

  #21 (permalink)
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markbrown View Post
there are lines, and in between the lines, and then over the line which i do not condone. sorry to have strayed just trying to stimulate some out of the box thinking and discussion without giving away the farm.

Reminds me of wise words from @josh:


josh View Post
You cannot give something away which you clearly do not possess.

I think our discussion is going to benefit neither of us.

Have a good weekend.

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  #22 (permalink)
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artemiso View Post
Reminds me of wise words from @josh:

I think our discussion is going to benefit neither of us.

Have a good weekend.

you have a great weekend also but make note of this:

unlike yourself you will see that i never lowered myself to getting mad or upset or making accusations with quotes from someone intended to discredit because i did not agree with your statements. i tried to explain but you closed your mind and resorted to defamation in the end not i.

mark brown

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  #23 (permalink)
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markbrown View Post
you have a great weekend also but make note of this:

unlike yourself you will see that i never lowered myself to getting mad or upset or making accusations with quotes from someone intended to discredit because i did not agree with your statements. i tried to explain but you closed your mind and resorted to defamation in the end not i.

mark brown

I don't think words and phrases such as "sorry", "I appreciate that", "have a good weekend" are associated with frustration. If you feel that I've wrongly accused you of something, then I apologize in advance although I do not know what that might be.

You've given us a null hypothesis that you do not pay any transaction costs, and I think anyone is justified to find evidence to reject it. This is not purely for the sake of argument, but that I think it's for the welfare of the community that myths such as this are dispelled - there's an ethical reason to do so, because you're suggesting that honest people do something very foolish with their hard-earned money on the line.

If you think it is defamation, then there is no reason not to seek legal recourse.

Cheers.

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  #24 (permalink)
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artemiso View Post
I don't think words and phrases such as "sorry", "I appreciate that", "have a good weekend" are associated with frustration. If you feel that I've wrongly accused you of something, then I apologize in advance although I do not know what that might be.

You've given us a null hypothesis that you do not pay any transaction costs, and I think anyone is justified to find evidence to reject it. This is not purely for the sake of argument, but that I think it's for the welfare of the community that myths such as this are dispelled - there's an ethical reason to do so, because you're suggesting that honest people do something very foolish with their hard-earned money on the line.

If you think it is defamation, then there is no reason not to seek legal recourse.

Cheers.

i think this was uncalled for honestly " You cannot give something away which you clearly do not possess. "

i did not use someone else's quote against you like that. i think you don't know what i'm talking about or you really do and just want me to come out and say it. in your frustration you lashed out at me and i think this forum or thought this forum was better than that. i am disappointed but it doesn't not surprise me as i see several others here from another forum which is well known for this type of behavior.

mark brown

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  #25 (permalink)
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Solution is simple. Stop talking in riddles and give actual real-world examples with detail that explain how you pay no transaction costs, no fees, no slippage on your trades.

Mike

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  #26 (permalink)
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Big Mike View Post
Solution is simple. Stop talking in riddles and give actual real-world examples with detail that explain how you pay no transaction costs, no fees, no slippage on your trades.

Mike

mike did you pay to become and elite member? no - yet i bet you are one right?

same principle applies to many in the business but with commissions.

the purpose of my post was to get people thinking, and the goal has been accomplished. familiar?

---

mark brown

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  #27 (permalink)
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markbrown View Post
mike did you pay to become and elite member? no - yet i bet you are one right?

same principle applies to many in the business but with commissions.

the purpose of my post was to get people thinking, and the goal has been accomplished. familiar?

---

mark brown

Yes I've paid in blood sweat and tears, it is my site.

So a reminder, here is your advice for this thread's OP:


markbrown View Post
i would never use any transaction or slippage cost when backtesting. doesn't mean that i ignore the cost it just means that have good reason to deny it's presence in the testing process.

mark brown

So you believe the thread starter should not use any transaction or slippage costs in backtesting.

But you can't explain why.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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  #28 (permalink)
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Big Mike View Post
Yes I've paid in blood sweat and tears, it is my site.

So a reminder, here is your advice for this thread's OP:



So you believe the thread starter should not use any transaction or slippage costs in backtesting.

But you can't explain why.

Mike

any model that has slippage is not built properly, i stated before that a no slippage model would be buying while the market is going down while in a uptrend. this gets you positive slippage and negates chasing a market and experiencing slippage. you model it right and you will not only get better than expected fills but you can pay that .19 cent commission cost on the es.

actually back when the sp was 500 a point and there were only pits fills this worked, but you do have to catch the falling knife. or wind up like most people, go with the flow and worry the rest of your life about slippage and commissions.

mark brown

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  #29 (permalink)
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markbrown View Post
any model that has slippage is not built properly, i stated before that a no slippage model would be buying while the market is going down while in a uptrend. this gets you positive slippage and negates chasing a market and experiencing slippage. you model it right and you will not only get better than expected fills but you can pay that .19 cent commission cost on the es.

actually back when the sp was 500 a point and there were only pits fills this worked, but you do have to catch the falling knife. or wind up like most people, go with the flow and worry the rest of your life about slippage and commissions.

mark brown

I would imagine the OP doesn't lease or own a seat or belong to an institution, so the argument of paying 19 cent commissions on ES is not very useful for him. Not everyone is an institutional trader as I mentioned to you earlier. Also he was specifically talking about currencies, bonds, and commodities - he never mentioned ES at all if I am not mistaken.

As an example on slippage -- most users here run NinjaTrader. Using NinjaTrader in this example, you must include 1 tick slippage on Market entry orders because of the "logic" used in the backtesting engine. The backtesting engine assumes your entry price = open of bar following the signal bar (prior bar close), when in fact on a market order entry price will be open (last)+1 tick (ask) - assuming a long position, no matter if the bar closed high or low on a range bar.

Yes on a fast moving market you could see slippage in your favor but buying a falling market will probably lend itself to much more negative trades in general than the likelihood of receiving slippage in your favor.

So the short version is -- yes you can minimize slippage if you buy when market is falling. And yes you can minimize transaction costs by leasing a seat. But your original argument of not including them in your backtest still seems ill advised.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.


Last edited by Big Mike; March 10th, 2013 at 06:18 AM.
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  #30 (permalink)
Elite Member
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markbrown View Post
any model that has slippage is not built properly, i stated before that a no slippage model would be buying while the market is going down while in a uptrend. this gets you positive slippage and negates chasing a market and experiencing slippage. you model it right and you will not only get better than expected fills but you can pay that .19 cent commission cost on the es.

actually back when the sp was 500 a point and there were only pits fills this worked, but you do have to catch the falling knife. or wind up like most people, go with the flow and worry the rest of your life about slippage and commissions.

mark brown

I think you meant to say $0.19, not 0.19 cents... There are too many gaps in your posts that do not sum up. I think it is very malicious if you are making a hoax up possibly at the expense of the threadstarter's and other people's money. But this is a message board - this is as far as I shall go in this thread - it's up to the other readers to form their own judgments.


Last edited by artemiso; March 10th, 2013 at 06:17 AM.
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