Spread or transaction cost?

• 04/16/2018 at 12:55 AM #68431
  bezieh

  Hey guys, i got a system for OMX30 SEK20 on a 1h timeframe, making about 1 trade per day in average on 4 years.
  And when i backtest without any spread or transaction cost, it turns out to be nice, about 300% profit in 4 years, but when i add the spread on 1 point, it goes from +300%, to -100%, haha, is the spread this extremely expensive, or is it something wrong here?

  One omx30 costs lets say 1600, and if you buy it cost 1601.5, so its 1.5 points u pay basically, which is around 0.1%, and when i remove spread cost in PRT backtest, and add 0.1% transaction cost, suddenty it makes sense, and goes from +300% to like +250% in 4 years, isn’t that the correct way? Or is it really spread 1 point on each trade, instead of transaction cost?

  Because i really thought my system was nice, until i added the spread cost of “1 point”.

  What about the spread cost of other index, for example portugal got 50 points in spread, how is this possible to profit from this on a low timeframe? Isn’t it transaction cost that you should apply?

  Thanks for answers guys!

  

  bezieh

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  04/16/2018 at 10:10 AM #68452
  Eric

  You should look at average gain

  personally i would not trade (for example) a system on DAX with less than 10 points avg gain

   

   

  

  Eric

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  04/16/2018 at 10:58 AM #68460
  GraHal

  Just to add a bit more on Eric’s well spotted observation … what is the Average gain  on the System you describe above?

  See attached for where Average gain is shown.

  

  GraHal

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  05/26/2019 at 1:46 PM #99454
  Paul

  same thing with this code on gbpusd 15min with no spread. Changed the buy/sellshort of original code.

  Looks nice, but average gain is too low.

  // REVERSI-4 //www.doctrading.fr Defparam cumulateorders = false // REVERSI HAUSSIER ca1 = close > open and close[1] > open[1] and close[2] < open[2] and close[3] < open[3] IF ca1 THEN sellshort 5 contracts at market nextbaropen amplitude = close - low ENDIF // REVERSI BAISSIER cv1 = close < open and close[1] < open[1] and close[2] > open[2] and close[3] > open[3] IF cv1 THEN buy 5 contracts at market nextbaropen amplitude = high - close ENDIF // STOP LOSS & OBJECTIF set stop loss amplitude set target profit amplitude

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  // REVERSI-4 //www.doctrading.fr   Defparam cumulateorders = false   // REVERSI HAUSSIER ca1 = close > open and close[1] > open[1] and close[2] < open[2] and close[3] < open[3]   IF ca1 THEN sellshort 5 contracts at market nextbaropen amplitude = close - low ENDIF   // REVERSI BAISSIER cv1 = close < open and close[1] < open[1] and close[2] > open[2] and close[3] > open[3]   IF cv1 THEN buy 5 contracts at market nextbaropen amplitude = high - close ENDIF   // STOP LOSS & OBJECTIF set stop loss amplitude set target profit amplitude

  

  Paul

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  05/26/2019 at 1:57 PM #99456
  Paul

  to compare, with an optimised factor set for amplitude.

  Left without spread, right with spread set to 1.

  1 user thanked author for this post.

  Nicolas

  

  Paul

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