Average trade and trading costs
Average trade is one of the most essential yet simplistic metrics: it’s just the ratio of the total net profit achieved by a strategy to the total number of trades:
Why do we need this value?
To answer this question, we should recall a few things from theory again.
In Chapter 3, FX Market Overview from a Developer’s Standpoint, we considered how markets are organized and learned that there is always a difference between the price at which we can buy and at which we can sell – the spread. Regardless of the type of orders used in the strategy, the market price must move for the distance of the spread at the very least, only to move the newly opened position from a negative zone to break even.
Besides that, don’t forget the various issues with liquidity and order execution that were considered in Chapter 10, Types of Orders and Their Simulation in Python. If the strategy uses market orders...
