Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile | I agree with John's rationale re the eventual significance of impact, but I also believe that Nirvana will find a way to help deal with that, as the numbers of shares traded en-masse increases. I think that the volume filtering capability that is already present is a good start. I disagree however regarding the value of slippage modelling. I think that slippage, for whatever cause, is a relevant and potentially important aspect of trading - regardless of whether it's individual or via OmniVest. There is nothing that Nirvana can do to eliminate this inherent aspect of trading. Bid and Ask will always be different. If not there would be no market! The REASON that I believe it's important to model slippage in the historical simulations is to make those simulations more true to life. I strongly believe that SOME kinds of strategies are much more susceptible to slippage, while others are less sensitive (easy to prove if anyone disagrees). The core concept of OmniVest is to mix and match strategies to get consistent gains with low drawdowns and wise usage of capital. We can only do that intelligently if the equity curves and statistics that are the building blocks of our decisions are as true to life as possible. Since slippage is not an "even Steven across the board per share" kind of impact (like commissions or margin costs) - since it does impact some strats more and some less - and some symbols more and some less - I think it's critical to include an telligent parametric model of it for the simulations. The important thing is not for the slippage amount to be absolutely correct - but rather that it realistically represents how different strats and symbols would react differently to it. And once again, I'm offering to provide working code to Nirvana, at no charge, to implement a healthy slippage model, so that it won't steal too much time from other development endeavors. The model is such that it can be turned off by users who don't want it, and adjusted/scaled by users with differing "beliefs" about its magnitude. Thanks for listening. [Edited by Jim Dean on 3/14/2013 7:14 PM] | |
