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1 replies, 899 viewings
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OmniVest User Forums
General Discussion Topics
Commissions
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Last Activity 4/15/2019 7:43 PM 1 replies, 899 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
My FTM HD portfolio takes about 80 trades / month and one of the key aspects is that there are multiple trades / symbol if multiple strategies fire at the same time. IB has a min of $1 / trade commission ($2 round trip). With the IB commission schedule in the OV Account settings, OV currently assigns $1 to each trade below 200 shares ($2 round trip). With Nirvana’s excellent Trade processor and IB, in real life multiple trades are aggregated together when possible - resulting in assigning the $1 min to the aggregated trade. (I’ve checked this to be true in my IB trades) An example of the difference (mirrored on the exit side)… 3 Entries for X @ 25 shares each; In OV simulation: 3 x 25 share trades = $3 commission Real world: 75 share trade @ $1 commission Since the portfolio takes a lot of trades, the effect of commissions on a small account can be large. I created a spreadsheet to examine the difference between the current OV simulation over the past year and what would’ve happened in the real world with the benefit of aggregating the trades. The upper equity curve in the snag below is my FTM HD portfolio in OV for the past year if you started with just $5,000 equity and IB commissions in OV. (Red A: $4,871 end) The lower chart has 2 plots from my spreadsheet. Green B: the closed trade equity with commissions calculated for aggregated trades ($6,107 end) Red A: the closed trade equity for the same trades using $1 min / trade ($4,871 end - same as the OV equity chart) I suspect it’s somewhat obvious that a larger account size will help with this problem by having larger trade sizes (the $1 min only applies if the order is < 200 shares). I've had a few questions privately about this, so I hope this helps to demonstrate that the current OV calculation can assign a higher commission cost bias to multiple trades on the same symbol vs the real world when the trades that are smaller than 200 shares are aggregated. With single trades / day in a symbol, the OV calculations are the same as the real world with IB. Mark [Edited by Mark Holstius on 10/15/2017 6:02 PM]  Attached file : 01 Commissions Comparison.png (251KB - 488 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Again, the results improve when aggregating the trades with the Trade Processor and IB vs the OV simulation. The OV simulation does an excellent job of factoring in commissions, but was designed to analyze one trade in a symbol at a time and hasn’t been modified to account for the performance improvements obtained when aggregating multiple trades in the same symbol. I’ve passed this analysis on to Nirvana, but I suspect that their development time is dedicated to new projects with a higher priority than this for the near future. I still thought it was interesting to confirm that the results when actually trading a smaller account should be better than the OV simulation. As the table below shows, this also verified the improvement in PPT as the # of trades / day in a symbol increased (multiple RTMs firing on the same day). Mark [Edited by Mark Holstius on 10/19/2017 7:40 PM] Attached file : 01 5 Year IRA.png (163KB - 399 downloads) |
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