Re: Market Model Thingy
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trading at the same price (the close) you use to make a decision is a good way to make your system unrealistic. start by modifying your program to include a one-day lag for trading and a linear transaction cost for bid/ask; if your system is still profitable after those changes, then this becomes a much more interesting discussion.
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OK. Any suggestions as to how much of a linear cost?
Also, what exactly do you mean by a 1-day lag? Is using the next days opening price a more realistic sell price?
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