Reasonable transaction costs assumption for stock backtesting?

losemind · July 18th, 2011, 10:02 am

For US stocks, may I assume a 0.1%=0.001=10bps cost in my backtest?The strategy is a daily one based on hitting the open and close.Lets say the stock price is $100 per share and I am trading $10000 shares. So I am trading $1M in dollar amount.May I use 10bps * $1M = $1000 as my transaction cost in backtest?For HK stocks, due to the exchange stamp duty, it's going to be at least 20bps that's what I heard - so that's a lot of costs... what do you think?

drone · July 22nd, 2011, 10:58 am

For stocks 10-20 bps sounds reasonable, for futures around 2-5 bps probably; to allow for slippage in your back-test, a few bps higher transaction cost might be used..

Da0ud · July 25th, 2011, 4:15 am

HK 21.8bps round trip and I would add another 10 to 20bps for slippage.