Don’t Forget Slippage And Commissions
Don’t trust any testing results that don’t include a liberal allowance for
slippage and commissions. They make an incredible difference in your results.
A lot of trading systems make small steady profits when tested without
allowing for slippage and commissions and turn into steady losers when
transaction costs are factored in. This is especially true of short-term or
day-trading systems.
—Charles Le Beau & David W. Lucas, from
Computer Analysis of the
Futures Market (1992, Business One Irwin, Homewood, IL).
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