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That should work with a system of fewer trades and
higher profit/loss ratio. But my system has a lot of trades every day
and profits by higher win rate.
If I use .2% as commissions, it is not as
profitable and doesn't reflect real trading statistics.
I looked at the advanced portfolio backtester, but
it doesn't seem to have any place you can set commission based on trade info.
(The trade object does have a GetCommission() method, but not SetCommission()).
Probably I have to stick with Wealth-Lab for a
while. But its backtesting is painfully slow...
----- Original Message -----
Sent: Thursday, April 06, 2006 8:31
PM
Subject: RE: [amibroker] How to simulate
IB commission?
I just use .2% for
all commissions. It overstates it a bit on the safe side.
-----Original
Message-----
From: [email protected]
[mailto:[EMAIL PROTECTED] On
Behalf Of Mark H
Sent: Thursday, April 06, 2006
17:23
To: [email protected]
Subject: [amibroker] How to simulate IB
commission?
I just consolidated my accounts
into an InteractiveBrokers account and would like to re-test my systems. I
have no problem in Wealth-lab since I can use CommissionScript to describe the
scheme. But in AmiBroker it is a bit difficult, and the portfolio commission
table doesn't seem to help.
The scheme is : $0.005 * shares,
min: $1.0, max: 0.002*value.
I think I can probably work around
this by modify the SellPrice/BuyPrice to reflect the commission. But that's a
bit messy and may have side effect.
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- Re: [amibroker] How to simulate IB commission? Mark H
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