Is it possible to calculate the liquidity for an entire sim?
For example, maybe calculate the MedianDailyTot(126) for each stock in a sim as it was bought and find the mean of all values.
Is this something that can be done for sim results within P123?
Or maybe in Excel using sim results?
Or is there a better way?
Thanks
Tony
Run the sim using variable slippage, then download the transactions. Let’s say your transaction price is in column E, the amount is in column F, and the fees are in column G. Then your formula would be Abs(G4/F4)-0.01/E4. The results should all be close to the slippage amounts specified here: New slippage option in Simulations: "Variable". You can then determine the range of average daily dollar volume for each stock.