Hey, thanks for reading and pointing that out to me! I didn't know there were sites that tracked bid/ask spreads like that.
It may be that the short-selling elements of strategies might just not be worth it for retail traders. I checked at market close yesterday and I couldn't short DAX, EWG, or EEM without calling up the trading desk to ask for shares. It happened once last month with EEM so I kind of waved it off, but if it's a persistent problem every month I may have to stick to long-only strategies.
I find the extra rigor and effort to automate everything helps to remove any loss aversion like you mention. I sometimes do intervene, but the automated system will always close out at the end.
Also, on the DAX/EWG. I don't believe you can actually trade that profitably.
The median bid/ask on DAX is 0.23% https://www.globalxetfs.com/funds/dax, EWG has 0.02% https://www.ishares.com/us/products/239650/ishares-msci-germany-etf .
The overall strategy can only tolerate 0.02% slippage (and 0.0005 commissions) while being profitable. So I'm not sure you'll be able to execute this.
Hey, thanks for reading and pointing that out to me! I didn't know there were sites that tracked bid/ask spreads like that.
It may be that the short-selling elements of strategies might just not be worth it for retail traders. I checked at market close yesterday and I couldn't short DAX, EWG, or EEM without calling up the trading desk to ask for shares. It happened once last month with EEM so I kind of waved it off, but if it's a persistent problem every month I may have to stick to long-only strategies.
You are right. My backtest with IBKR comissions and real spreads shows that it loses money constantly because of the costs.
Great post!
I find the extra rigor and effort to automate everything helps to remove any loss aversion like you mention. I sometimes do intervene, but the automated system will always close out at the end.