Tracking of actual versus theoretical executions


I think I am doing worse than the theoretical model. Part of the discrepancy is due to slippage assumptions, but there are also differences due to execution.

How can I easily overlay the actual versus theoretical performances? I am using a LIVE portfolio linked with IB/TRADE, which helps with absolute performance tracking, but not with tracking error.

Any ideas on how simply to do this?


I just started doing this so I will let you know at some point in the future whether it works. First I have a port where I enter all of my transactions: this is the accurate representation of how I am doing. This port is not related to your question, I think.

For answering questions I have that are related to your questions, I have multiple “ports” that I keep exactly the same—with the same transactions and starting value. So if I trade once on Monday it would be 3 ports. For the first port I edit it with the opening price for the day. The second port I edit it with the fill price. And I keep a port that I edit with the close price. I do not bother to edit the quantity of shares.

I should be able to quickly see which port is doing better. And the statistics should give me the average return of the transactions. A little subtraction should give me the difference in the average transactions (same transactions with different fill prices). This difference should (I hope) be related to slippage and other question I may be interest in in the future. If the fill price is so different that the ports start trading different stocks in short order I will need nothing more to see that slippage is a problem. And even with different stocks in the ports “slippage” can still be assessed long-term—even with different stocks in the respective ports.

The main problem with this method is there is a limited amount of time to edit ports with P123. I you are not a little compulsive ports could get out of sync and you may not be able to correct this. Still, it may be possible to make valid comparisons. Like I said, I will let you know how long it takes for me to make an error that messes this up.

This is a work in progress and I would be interested in what your have tried. Obviously, I have done some other things with spreadsheets. None of it too interesting.