Hi, I was wondering if someone could please check out the
stats for the following strategy. Tests are on the last 1 month
of 1 min data on 600 shares allowing for transaction costs of
$24 roundtrip. No slippage is taken account of. Could someone
please comment on how much slippage I could potentially
get on lot of 600 shares?
First is the SPX500 index. The NDX is enclosed in the next email.
Regards,
Splat
stats for the following strategy. Tests are on the last 1 month
of 1 min data on 600 shares allowing for transaction costs of
$24 roundtrip. No slippage is taken account of. Could someone
please comment on how much slippage I could potentially
get on lot of 600 shares?
First is the SPX500 index. The NDX is enclosed in the next email.
Regards,
Splat