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Somtimes the swap is very big if the trades is open a longer time
see picture.
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More you can see in this Youtube series:
How to Jump on Board the Trend Following Wagon
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Imagine if the commission were not included and you had to filter anything that got hammered by commissions with a whatif?
When I filter for profit factor, sharp rdd etc it should include all the costs in the main data or it isn't correct.
pf, sharp, rdd all will be skewed towards longer holding times because those are missing the most costs. (Or those are correctly priced with the use of overcharging commission but then the lower holding times are way overcharged)
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Attached is an example of the difference it can make.
Using Whatif is a poor man's poverty solution to this problem. It's a FUNDAMENTAL trading cost that should be a CORE function of building in SQ like spreads, commissions, slippage etc.
PLEASE STOP IGNORING THE MOST VOTED REQUEST IN YOUR BACKLOG!!!
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