60% of profits going to commissions and slippage

Discussion in 'Trading' started by OHTodd, Jul 12, 2010.

  1. OHTodd



    I've been backtesting an intra-day pair strategy, and commissions and slippage appear to impact the profitability by an estimated 60%

    Gross profit: $.11 total per pair

    Commissions: $.004 per execution
    ECN Charges $.0025 per execution
    Slippage: $.01 per execution

    Total execution costs: $.066 (2 buys, 2 sells)

    Net profit: $.044 per pair

    What I'm wondering is if this is a normal P&L for a pair that generates $.11 total, or should I look to move it to a passive strategy in which I reduce ECN charges and slippage by sitting on the bid/offer.

    Any help would be greatly appreciated!
  2. Find a better commission rate, try to see if you can add liquidity 50% of the time, so that your ECN rate goes closer to 0.