Quantitative analysis, research and trading strategies in the financial markets in all time frames
This article covers the newly implemented 5 cents spread in certain stocks and how that has influenced my P/L (negatively). Background: On October 3 in 2016 SEC implemented the Tick Size Pilot Program. Put short, there will be a minimum 5 cents spread in specified stocks. The entire idea behind the
Continue readingLately I have done some research trying to develop some new daytrading strategies. I have tested all these strategies with entry on the open (OPG). Exit have been after two hours or on the close (MOC). There are two huge advantages using OPG and MOC compared to exiting trying to
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Trading is very difficult. Not only is it difficult to find profitable strategies, you also have to overcome slippage and commission costs. Slippage is difficult to estimate. Commissions costs, however, is easy to calculate. Personally I pay .001 per share in clearing plus ECN rebates and taxes/fees. So far in
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One word I often use in my articles is the word slippage. Simply explained this means the difference between fictional results when testing strategies, and the actual results in real life adjusting for commissions and transaction costs. Commission is a cost we know. However, costs related to buying and selling
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