Timeline for Add transaction costs to prediction
Current License: CC BY-SA 3.0
10 events
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| Apr 1, 2020 at 13:55 | comment | added | safetyduck | You need to take an optimal action in some sense. Typically that is somethink like the expected log return where you plug in the model for the expectation probabilities. Transaction costs affect the pay off naturally in that way. Be careful about stop loss limits etc if you are taking large enough positions to bail i.e. model your exit events excplicitly. | |
| May 17, 2013 at 4:56 | history | tweeted | twitter.com/#!/StackQuant/status/335257604114767872 | ||
| May 16, 2013 at 17:45 | answer | added | user2183336 | timeline score: 2 | |
| May 16, 2013 at 16:32 | history | edited | siamii |
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| May 16, 2013 at 16:20 | comment | added | siamii | @Freddy I've made some amendments. See if it is clearer now? | |
| May 16, 2013 at 16:19 | history | edited | siamii | CC BY-SA 3.0 |
added 791 characters in body
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| May 16, 2013 at 13:17 | comment | added | Matt Wolf | @siamii, you are asking a question that is impossible to answer without a host of other information which you did not provide. | |
| May 16, 2013 at 13:08 | comment | added | siamii | @LouisMarascio the question is by how much | |
| May 16, 2013 at 12:07 | comment | added | Louis Marascio | What exactly is your question? Obviously, positive transactions costs will reduce your profit. | |
| May 16, 2013 at 11:12 | history | asked | siamii | CC BY-SA 3.0 |