Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Transaction cost problem !
Yatharth Narang
posted

One of my algorithms is giving good results in terms of returns and sharpe.
The backtest from 8th April 2015 to 1st July 2015 have the following performance metrics in live testing :
Returns: 9.5%
Sharpe : 2.70%
Beta : -0.44
Max Drawdown : 5.3 %

Now while the returns look fine to me I want to check how feasible is it to trade this algo in real markets.

So what should be transaction cost parameters both for per share traded and per trade both. I would be more interested to chose a broker that allows a low charge per trade , that would significant reduce the transaction cost and least deviate the returns from back test(apart from market conditions).

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.