Yeah I include brokerage fees (same as what it costs to trade with IB)
I am running three systems at the moment but they are all low-medium frequency (two where stocks are rebalanced monthly and another which trades gold volatility a few times a year). Live results are similar to my backtests but commissions are still eating a big % of profits (for virtually the same strategy one year will cost me around 4k in commissions to trade asx stocks but only $300 for american stocks - asx fees are ridiculous).
What do you mean by volatility filters?
FLT - Machine Learning Experiment, page-6
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$17.00 |
Change
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Mkt cap ! $4.754B | |||
| Open | High | Low | Value | Volume |
| $17.01 | $17.18 | $16.98 | $18.14M | 1.024M |
Buyers (Bids)
| No. | Vol. | Price($) |
|---|---|---|
| 3 | 6735 | $17.00 |
Sellers (Offers)
| Price($) | Vol. | No. |
|---|---|---|
| $17.01 | 75 | 1 |
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