Can somebody clarify the problem 11 and delay costs calculation?
The delay cost calculation : ( SharesExecuted on any day /SharesTotalOrder )*( close of prev day- decision price)/(decision price). Missed Trade opportunity is simply ( (unexecuted shares)/SharesTotalOrder ) *( price at cancellation - decision price ) / ( decision price) Realized Profit = ( executed shares/ SharesTotalOrder ) *( execution price-prev close)/ decision price Commissions = (Total Commissions $ )/ ( Shares Total Order * decision price) Intuitively you can see the links happening between decision price and final price at completion/cancellation. Decision -> execution -> close -> execution -> close -> cancellation/completion . The paper portfolio naturally goes from decision -> completion . At each stage the actual portfolio gives up on commission, delay , realized/unrealized and finally gives up on the non-executed shares. Note carefully the sum of delay and realized over each trade : ExecutedShares/Totalshares *( execution price - prev close + prev close - decision price ) / decision price. This gives sigma( ExecutedShares/Total Shares(* execution price - decision price ) / decision price. ) If you add back missed trades opportunity costs and commissions to the line above , it all adds up in a linked manner to the paper profits
Thanks