Why does changing the spread in the backtests change the results?

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    Fran55
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    Why does changing the spread in the backtests change the results and do more or less operations?

    Thank you!

    #145442 quote
    Vonasi
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    Because spread is the difference between the prices that you can buy and sell at. Their distance apart determines whether your strategy hits them or not and so you get different quantities of trades and different results.

    If you place a long buy order at x you really get to buy at x + half the spread. Then you decide to sell at y and you get to sell at y – half the spread. The bigger the spread the harder it is to beat the market.

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Why does changing the spread in the backtests change the results?


ProOrder: Automated Strategies & Backtesting

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Fran55 @fran55 Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by Vonasi
5 years, 5 months ago.

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Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/26/2020
Status: Active
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