Hello, 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!
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.