February 7th, 2011, 5:21 am
QuoteOriginally posted by: Gmike2000i am sorry, but if you roll your position every 3 days this means you do just over 80 "roundtrips" in one year and hence trading costs in terms of slippage, commissions, and bid-offer spread are going to have a material impact on the performance of what you euphemistically call a "system". i dont trade chinese stocks, but i would estimate the average bid-offer spread to be around 50bps or even higher. do the math...in any case, this system clearly generates very good business for your broker, and i am sure you are making him very happy.commissions is 0.02% per trade, its included in the calculations, slippage max 0.02% per trade as i can always manage to fill orders next day at todays close which is on average 0.02% higher than next days open. I done calculations holding it from min of 2days up to 10days+ , 3 days gives me the max returns because of compounding.