I think we need to characterize the commission, slippage, and signals a little better, at which point we can just solve this puppy (although maybe it would be like "just solving" the wave equation, who knows).


For example, do we have more slippage if we trade a bigger block? Is the commission a fixed amount per block trade, or a fixed amount per share traded, or a combination of the two? Is the signal a "a position taken now is guaranteed to increase in value by 5%", or is it more complicated?


I think the simpler the signal is, the more likely the answer is going to be either "always get out when the signal disappears" or "never bother to get out", depending on the definition of commission and slippage. The more complicated the signal, the more likely the answer is going to be something like "make sure that when your signal goes away, you are left no further long or short than (some interesting function of the slippage and commission)."


Having said all that, I should just pick a model and go forward, but I don't want to pick a weird definition of "signal", for example, and have a bunch of people jump on me for being an idiot.