Hello,
I've been backtesting an intra-day pair strategy, and commissions and slippage appear to impact the profitability by an estimated 60%
Gross profit: $.11 total per pair
Commissions: $.004 per execution
ECN Charges $.0025 per execution
Slippage: $.01 per execution
Total execution costs: $.066 (2 buys, 2 sells)
Net profit: $.044 per pair
What I'm wondering is if this is a normal P&L for a pair that generates $.11 total, or should I look to move it to a passive strategy in which I reduce ECN charges and slippage by sitting on the bid/offer.
Any help would be greatly appreciated!
I've been backtesting an intra-day pair strategy, and commissions and slippage appear to impact the profitability by an estimated 60%
Gross profit: $.11 total per pair
Commissions: $.004 per execution
ECN Charges $.0025 per execution
Slippage: $.01 per execution
Total execution costs: $.066 (2 buys, 2 sells)
Net profit: $.044 per pair
What I'm wondering is if this is a normal P&L for a pair that generates $.11 total, or should I look to move it to a passive strategy in which I reduce ECN charges and slippage by sitting on the bid/offer.
Any help would be greatly appreciated!