Please, estimate below samples. SPY and DIA trading system. Both are WALK FORWARD TEST. Both have a lot of trades. Both uses same params. Both are stat. arb (the same 100%). Used 1000 lots as 1 lot (below chart show position size) and 30 usd per lot transaction cost. No problem if execute system on CME. In this case profit will be more.
If you have interesting – DM me.
SPY
![[IMG]](http://www.trendmedium.com/tmp/spy.jpg)
DIA