I am simulating a market for my trading system. I have no ask-bid prices in my dataset and use adjusted close for both buy and sell price. To account for this I plan to use a relative transaction cost.
The question is how large such a relative transaction cost should be to be realistic?
I trade stocks only from Dow Jones Industrial average (read that it might be around 0.2% in this paper)
I trade only on day-to-day (no intraday) thus I can assume to buy at close prices (adjusted close?)
I simulate trades in the time period 2000-2012
By transaction cost I am interested in any cost related to a real trade, e.g., brokerage fee, spread, slippage (thanks @chrisaycock)