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Slippage value for CL trading in Multicharts


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Slippage value for CL trading in Multicharts

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  #1 (permalink)
 my2108 
Kowloon, Hong Kong
 
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HI,
I am starting to auto trade CL on multicharts. As I understand the slippage of CL can go wild sometimes up to 10+ tick. So I wonder what is a reasonable slippage value I should setup with my strategy property?

Any professional advice pls?

MY

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 xplorer 
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my2108 View Post
HI,
I am starting to auto trade CL on multicharts. As I understand the slippage of CL can go wild sometimes up to 10+ tick. So I wonder what is a reasonable slippage value I should setup with my strategy property?

Any professional advice pls?

MY

I think it really does depend on the strategy.

Since I trade discretionary, I know that I can usually expect a slippage of about 2 ticks on 20% of the CL trades where I am stopped out. But that's because I use mostly limit orders to exit the market, so my exits are not affected by negative slippage. I also do not place market orders during highly volatile events such as EIA releases. If I did, I would probably expect a higher number of ticks slippage more frequently.

As for an automated strategy, as I said, I think it depends on a number of factors: timeframe you are trading (is it daily, intraday, etc.) i.e. trade frequency, whether you are excluding scheduled releases such as API/EIA, and how heavily you rely on market/stop orders vs. limit orders.

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 my2108 
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xplorer View Post
I think it really does depend on the strategy.

Since I trade discretionary, I know that I can usually expect a slippage of about 2 ticks on 20% of the CL trades where I am stopped out. But that's because I use mostly limit orders to exit the market, so my exits are not affected by negative slippage. I also do not place market orders during highly volatile events such as EIA releases. If I did, I would probably expect a higher number of ticks slippage more frequently.

As for an automated strategy, as I said, I think it depends on a number of factors: timeframe you are trading (is it daily, intraday, etc.) i.e. trade frequency, whether you are excluding scheduled releases such as API/EIA, and how heavily you rely on market/stop orders vs. limit orders.

HI xplorer,
I am trading with hourly bar on a momentum strategy, observe breakthru across/below a stable channel, and place my market stop order on either long/short side to make sure its a true breakthru. On stop profit and stop loss, I am using ATR Trailing over around half the period of momentum strategy...again selling/covering with stop order.

MY

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 xplorer 
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my2108 View Post
HI xplorer,
I am trading with hourly bar on a momentum strategy, observe breakthru across/below a stable channel, and place my market stop order on either long/short side to make sure its a true breakthru. On stop profit and stop loss, I am using ATR Trailing over around half the period of momentum strategy...again selling/covering with stop order.

MY

Thanks MY but, just to clarify, my post was not intended to get you to explain the strategy. It was intended more as a way to convey my belief that there is no fixed answer to the generic question "how much slippage should I add".

It sounds like your strategy, using momentum and market/stop orders, may be subject to more slippage than what I normally experience. How much more, though, I can't say. It can be a matter of trial and error and, eventually, experience.

I think @kevinkdog usually adds 1-2 ticks slippage per trade in his strategies, I may be wrong on that though.

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