An O'Neil-style system cuts losses at 8% and takes profits at 20%. Round-trip statutory and broker costs are 0.238% (Worked example 4.3) and slippage is 0.25% per side. (a) Express costs in and compute the breakeven win rate. (b) Gaps through the stop make the average loss . Generalise (4.5) to an average loss of and recompute . (c) At a 35% win rate, what is the expectancy per trade in under (b)?
M04 · Problem 8 ★ Check
Breakeven win rate with Indian costs and gaps
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