Has anyone experienced a lot of slippage trading the Mechanical
systems? When I backtested the FAS and FAZ systems and
alloted for slippage, the results decreased dramatically.
I noticed that slippage isn't alloted in the BPT
backtests. Just curious why not? I am not trying
to diminish the value of these systems by any means,
I am simply trying to see if I'm erroring in my
calculations.
Mechanical Systems slippage?
Posted by dutchman on 7th of Jul 2010 at 05:57 pm
Has anyone experienced a lot of slippage trading the Mechanical systems? When I backtested the FAS and FAZ systems and alloted for slippage, the results decreased dramatically. I noticed that slippage isn't alloted in the BPT backtests. Just curious why not? I am not trying to diminish the value of these systems by any means, I am simply trying to see if I'm erroring in my calculations.
AIG has the biggest problem
Posted by rank10 on 7th of Jul 2010 at 06:22 pm
AIG has the biggest problem in slippage that I have found. That is because the spreads can be up to 4-5 cents between the bid and the ask
as for FAZ and FAS I have found there really hasn't been much of an issue.....maybe 1 - 2 cents