********************************************************************************
Costs report produced on 27/10/2023 22:35 from 19/02/2023 22:35 to 27/10/2023 22:35
********************************************************************************
Cost calculations: Costs shown are expected costs per trade in Sharpe Ratio (SR) units and are calculated as follows: percentage_cost / avg_annual_vol_perc
********************************************************************************
Costs *including* BOTH spreads and commissions
********************************************************************************
==============================================================
SR costs (using stored slippage)
==============================================================
percentage_cost avg_annual_vol_perc SR_cost
FED_fsb 0.00010 0.00059 0.16723
OATIES_fsb 0.00943 0.34430 0.02739
MSCISING_fsb 0.00166 0.15927 0.01040
EURGBP_fsb 0.00046 0.04604 0.00990
BTP3_fsb 0.00024 0.02467 0.00965
SONIA3_fsb 0.00006 0.00636 0.00914
PALLAD_fsb* 0.00269 0.31492 0.00853
RICE_fsb 0.00139 0.17257 0.00808
AUD_fsb 0.00080 0.09981 0.00806
V2X_fsb 0.00431 0.53854 0.00801
CHF_fsb 0.00056 0.07020 0.00795
EUR_fsb 0.00050 0.06948 0.00721
OJ_fsb 0.00227 0.32684 0.00696
VIX_fsb 0.00339 0.53749 0.00630
DX_fsb* 0.00038 0.06389 0.00602
COTTON2_fsb 0.00154 0.26050 0.00592
PLAT_fsb 0.00126 0.21734 0.00578
JGB_fsb 0.00014 0.02520 0.00573
COCOA_fsb 0.00133 0.23588 0.00563
GBP_fsb 0.00042 0.07711 0.00550
WHEAT_ICE_fsb 0.00111 0.20266 0.00546
JPY_fsb 0.00037 0.07044 0.00529
US2_fsb 0.00010 0.01838 0.00528
CAD_fsb 0.00029 0.05707 0.00516
NZD_fsb* 0.00049 0.09537 0.00509
AUDJPY_fsb 0.00050 0.10332 0.00484
SHATZ_fsb 0.00007 0.01533 0.00450
CORN_fsb 0.00094 0.21652 0.00435
COFFEE_fsb 0.00125 0.31128 0.00402
SOYBEAN_fsb 0.00079 0.19990 0.00396
LIVECOW_fsb 0.00058 0.15205 0.00383
SUGAR11_fsb 0.00106 0.27894 0.00380
COCOA_LDN_fsb 0.00093 0.24886 0.00375
ROBUSTA_fsb 0.00102 0.28871 0.00355
SOYMEAL_fsb 0.00104 0.29434 0.00355
LEANHOG_fsb* 0.00102 0.33005 0.00310
IBXEX_fsb 0.00044 0.14718 0.00300
BOBL_fsb 0.00014 0.04526 0.00300
COPPER_fsb* 0.00051 0.17326 0.00295
SOYOIL_fsb* 0.00096 0.33900 0.00283
SUGAR_WHITE_fsb 0.00068 0.24068 0.00281
SILVER_fsb 0.00063 0.24030 0.00262
US10_fsb* 0.00018 0.06827 0.00258
GAS_US_fsb* 0.00123 0.47955 0.00256
BTP_fsb 0.00023 0.09804 0.00233
OAT_fsb 0.00020 0.08771 0.00229
ASX_fsb 0.00028 0.12181 0.00228
FTSE100_fsb 0.00027 0.12296 0.00223
WHEAT_fsb 0.00069 0.31785 0.00217
SMI_fsb* 0.00027 0.12631 0.00214
US5_fsb 0.00009 0.04510 0.00204
CAC_fsb 0.00028 0.13984 0.00200
HANG_fsb 0.00042 0.21962 0.00190
GASOLINE_fsb 0.00069 0.38472 0.00180
EUROSTX_fsb 0.00024 0.14586 0.00163
NIKKEI_fsb 0.00028 0.17214 0.00163
GASOIL_fsb 0.00068 0.46567 0.00146
DAX_fsb 0.00020 0.13786 0.00143
EUA_fsb 0.00039 0.27893 0.00140
BUND_fsb* 0.00011 0.08635 0.00130
HEATOIL_fsb 0.00057 0.45085 0.00125
GOLD_fsb 0.00015 0.12914 0.00118
US30_fsb 0.00016 0.13938 0.00114
AEX_fsb 0.00013 0.13325 0.00101
OMXS30_fsb 0.00016 0.16570 0.00096
BRENT_W_fsb* 0.00037 0.39216 0.00095
CRUDE_W_fsb 0.00039 0.41225 0.00095
DOW_fsb 0.00010 0.11777 0.00089
SP500_fsb 0.00012 0.14404 0.00081
US30U_fsb 0.00015 0.18316 0.00080
GILT_fsb 0.00010 0.12567 0.00080
BUXL_fsb 0.00017 0.20766 0.00080
RUSSELL_fsb 0.00013 0.19030 0.00070
NASDAQ_fsb* 0.00011 0.20594 0.00053
EURIBOR-ICE_fsb 0.00007 1.64415 0.00004
* indicates currently held position
********************************************************************************
Costs *excluding* spreads, COMMISSION ONLY
********************************************************************************
==============================================================
SR costs (using stored slippage)
==============================================================
percentage_cost avg_annual_vol_perc SR_cost
AEX_fsb 0.0 0.13325 0.0
SHATZ_fsb 0.0 0.01533 0.0
ROBUSTA_fsb 0.0 0.28871 0.0
RICE_fsb 0.0 0.17257 0.0
PLAT_fsb 0.0 0.21734 0.0
PALLAD_fsb* 0.0 0.31492 0.0
OMXS30_fsb 0.0 0.16570 0.0
OJ_fsb 0.0 0.32684 0.0
OAT_fsb 0.0 0.08771 0.0
OATIES_fsb 0.0 0.34430 0.0
NZD_fsb* 0.0 0.09537 0.0
NIKKEI_fsb 0.0 0.17214 0.0
NASDAQ_fsb* 0.0 0.20594 0.0
MSCISING_fsb 0.0 0.15927 0.0
LIVECOW_fsb 0.0 0.15205 0.0
LEANHOG_fsb* 0.0 0.33005 0.0
JPY_fsb 0.0 0.07044 0.0
RUSSELL_fsb 0.0 0.19030 0.0
SILVER_fsb 0.0 0.24030 0.0
IBXEX_fsb 0.0 0.14718 0.0
SMI_fsb* 0.0 0.12631 0.0
WHEAT_ICE_fsb 0.0 0.20266 0.0
VIX_fsb 0.0 0.53749 0.0
V2X_fsb 0.0 0.53854 0.0
US5_fsb 0.0 0.04510 0.0
US30_fsb 0.0 0.13938 0.0
US30U_fsb 0.0 0.18316 0.0
US2_fsb 0.0 0.01838 0.0
US10_fsb* 0.0 0.06827 0.0
SUGAR_WHITE_fsb 0.0 0.24068 0.0
SUGAR11_fsb 0.0 0.27894 0.0
SP500_fsb 0.0 0.14404 0.0
SOYOIL_fsb* 0.0 0.33900 0.0
SOYMEAL_fsb 0.0 0.29434 0.0
SOYBEAN_fsb 0.0 0.19990 0.0
SONIA3_fsb 0.0 0.00636 0.0
JGB_fsb 0.0 0.02520 0.0
HEATOIL_fsb 0.0 0.45085 0.0
ASX_fsb 0.0 0.12181 0.0
COTTON2_fsb 0.0 0.26050 0.0
COPPER_fsb* 0.0 0.17326 0.0
COFFEE_fsb 0.0 0.31128 0.0
COCOA_fsb 0.0 0.23588 0.0
COCOA_LDN_fsb 0.0 0.24886 0.0
CHF_fsb 0.0 0.07020 0.0
CAD_fsb 0.0 0.05707 0.0
CAC_fsb 0.0 0.13984 0.0
BUXL_fsb 0.0 0.20766 0.0
BUND_fsb* 0.0 0.08635 0.0
BTP_fsb 0.0 0.09804 0.0
BTP3_fsb 0.0 0.02467 0.0
BRENT_W_fsb* 0.0 0.39216 0.0
BOBL_fsb 0.0 0.04526 0.0
AUD_fsb 0.0 0.09981 0.0
AUDJPY_fsb 0.0 0.10332 0.0
CORN_fsb 0.0 0.21652 0.0
CRUDE_W_fsb 0.0 0.41225 0.0
HANG_fsb 0.0 0.21962 0.0
DAX_fsb 0.0 0.13786 0.0
GOLD_fsb 0.0 0.12914 0.0
GILT_fsb 0.0 0.12567 0.0
GBP_fsb 0.0 0.07711 0.0
GAS_US_fsb* 0.0 0.47955 0.0
GASOLINE_fsb 0.0 0.38472 0.0
GASOIL_fsb 0.0 0.46567 0.0
FTSE100_fsb 0.0 0.12296 0.0
FED_fsb 0.0 0.00059 0.0
EUR_fsb 0.0 0.06948 0.0
EUROSTX_fsb 0.0 0.14586 0.0
EURIBOR-ICE_fsb 0.0 1.64415 0.0
EURGBP_fsb 0.0 0.04604 0.0
EUA_fsb 0.0 0.27893 0.0
DX_fsb* 0.0 0.06389 0.0
DOW_fsb 0.0 0.11777 0.0
WHEAT_fsb 0.0 0.31785 0.0
* indicates currently held position
********************************************************************************
Costs *excluding* commissions, SPREADS ONLY
********************************************************************************
==============================================================
SR costs (using stored slippage)
==============================================================
percentage_cost avg_annual_vol_perc SR_cost
FED_fsb 0.00010 0.00059 0.16723
OATIES_fsb 0.00943 0.34430 0.02739
MSCISING_fsb 0.00166 0.15927 0.01040
EURGBP_fsb 0.00046 0.04604 0.00990
BTP3_fsb 0.00024 0.02467 0.00965
SONIA3_fsb 0.00006 0.00636 0.00914
PALLAD_fsb* 0.00269 0.31492 0.00853
RICE_fsb 0.00139 0.17257 0.00808
AUD_fsb 0.00080 0.09981 0.00806
V2X_fsb 0.00431 0.53854 0.00801
CHF_fsb 0.00056 0.07020 0.00795
EUR_fsb 0.00050 0.06948 0.00721
OJ_fsb 0.00227 0.32684 0.00696
VIX_fsb 0.00339 0.53749 0.00630
DX_fsb* 0.00038 0.06389 0.00602
COTTON2_fsb 0.00154 0.26050 0.00592
PLAT_fsb 0.00126 0.21734 0.00578
JGB_fsb 0.00014 0.02520 0.00573
COCOA_fsb 0.00133 0.23588 0.00563
GBP_fsb 0.00042 0.07711 0.00550
WHEAT_ICE_fsb 0.00111 0.20266 0.00546
JPY_fsb 0.00037 0.07044 0.00529
US2_fsb 0.00010 0.01838 0.00528
CAD_fsb 0.00029 0.05707 0.00516
NZD_fsb* 0.00049 0.09537 0.00509
AUDJPY_fsb 0.00050 0.10332 0.00484
SHATZ_fsb 0.00007 0.01533 0.00450
CORN_fsb 0.00094 0.21652 0.00435
COFFEE_fsb 0.00125 0.31128 0.00402
SOYBEAN_fsb 0.00079 0.19990 0.00396
LIVECOW_fsb 0.00058 0.15205 0.00383
SUGAR11_fsb 0.00106 0.27894 0.00380
COCOA_LDN_fsb 0.00093 0.24886 0.00375
ROBUSTA_fsb 0.00102 0.28871 0.00355
SOYMEAL_fsb 0.00104 0.29434 0.00355
LEANHOG_fsb* 0.00102 0.33005 0.00310
IBXEX_fsb 0.00044 0.14718 0.00300
BOBL_fsb 0.00014 0.04526 0.00300
COPPER_fsb* 0.00051 0.17326 0.00295
SOYOIL_fsb* 0.00096 0.33900 0.00283
SUGAR_WHITE_fsb 0.00068 0.24068 0.00281
SILVER_fsb 0.00063 0.24030 0.00262
US10_fsb* 0.00018 0.06827 0.00258
GAS_US_fsb* 0.00123 0.47955 0.00256
BTP_fsb 0.00023 0.09804 0.00233
OAT_fsb 0.00020 0.08771 0.00229
ASX_fsb 0.00028 0.12181 0.00228
FTSE100_fsb 0.00027 0.12296 0.00223
WHEAT_fsb 0.00069 0.31785 0.00217
SMI_fsb* 0.00027 0.12631 0.00214
US5_fsb 0.00009 0.04510 0.00204
CAC_fsb 0.00028 0.13984 0.00200
HANG_fsb 0.00042 0.21962 0.00190
GASOLINE_fsb 0.00069 0.38472 0.00180
EUROSTX_fsb 0.00024 0.14586 0.00163
NIKKEI_fsb 0.00028 0.17214 0.00163
GASOIL_fsb 0.00068 0.46567 0.00146
DAX_fsb 0.00020 0.13786 0.00143
EUA_fsb 0.00039 0.27893 0.00140
BUND_fsb* 0.00011 0.08635 0.00130
HEATOIL_fsb 0.00057 0.45085 0.00125
GOLD_fsb 0.00015 0.12914 0.00118
US30_fsb 0.00016 0.13938 0.00114
AEX_fsb 0.00013 0.13325 0.00101
OMXS30_fsb 0.00016 0.16570 0.00096
BRENT_W_fsb* 0.00037 0.39216 0.00095
CRUDE_W_fsb 0.00039 0.41225 0.00095
DOW_fsb 0.00010 0.11777 0.00089
SP500_fsb 0.00012 0.14404 0.00081
US30U_fsb 0.00015 0.18316 0.00080
GILT_fsb 0.00010 0.12567 0.00080
BUXL_fsb 0.00017 0.20766 0.00080
RUSSELL_fsb 0.00013 0.19030 0.00070
NASDAQ_fsb* 0.00011 0.20594 0.00053
EURIBOR-ICE_fsb 0.00007 1.64415 0.00004
* indicates currently held position
********************************************************************************
END OF REPORT
********************************************************************************