Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile | Hi Steve Thanks very much for doing this. I wish Nirvana would do this - drawing info anonymously from all TP transactions and filling in the table. We really need a huge amount of data to draw useful conclusions. You mentioned that you are about to "add funds to the account". I thot that your prior trades that you were reporting on were from a funded account. Was I incorrect? Was it a Paper account? I would NOT expect paper accounts to show any kind of meaningful slippage since the orders aren't actually being fed to the exchanges. Or, if the orders are small ones (such as you see on the far left of the equity curve), I would not expect the slippage to be meaningful unless VERY illiquid stocks were being traded. The gotcha with slippage is when trade sizes become an appreciable fraction (say, 0.1% or more) of the avg daily vol for that stock. That's what the middle and right of the 13 year equity curves are generally dealing with. That's what IMHO needs automatically estimated slippage modelling in OVest and PortSim - to help make those wild and wonderful equity curves a bit more realistic. So - if you truly want to be a martyr for the cause and throw some real money at a portfolio that has significantly less-liquid stocks BUT does show a pretty nice OVest curve and decent strats, let me know and I'll pass on the portfolio and allocation info. It's using the strats that are all-long, based on MG groups of symbols for market-rotation type trading. I found in my simulation R&D that the curves were extremely sensitive to ANY filtering of the volume - which tells me that the trade sizes got to be appreciable fractions of the daily vol for those stocks. I'd try it myself but I just don't have adequate funds to do meaningful testing of it at this time. [Edited by Jim Dean on 6/29/2013 7:36 PM] | |
