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Investing/Strategies / Mechanical Investing
|Subject: Re: criteria to sort ranks||Date: 3/7/2013 1:32 PM|
|Author: elann||Number: 242139 of 265612|
e.g., if you require a million dollars of daily dollar volume your
trading friction might be only .4% round trip, but if you are allowing
stocks of $75k daily dollar volume you might want to simulate with 1.5% or even 2%.
Run both of those tests and see which one gives the better returns after friction.
This depends very much on your position size. With positions of $10K, a daily dollar volume of $75K should be alright. With smaller positions you should be able to trade any stock that is listed on a major exchange without too much trouble. With $100K positions you might want to set a $500K daily dollar volume minimum.
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