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Correct slippage and commission for backtesting?


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Updated by Devin Sheets
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Correct slippage and commission for backtesting?

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  #1 (permalink)
Salem, Oregon
 
 
Posts: 10 since Jun 2020
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I'm new to trading, haven't even done my first trade. Just working on backtesting some strategies. I'm wondering what the correct slippage and commission rate settings are to produce an accurate result.

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Boca Raton, FL
 
 
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Devin Sheets View Post
I'm new to trading, haven't even done my first trade. Just working on backtesting some strategies. I'm wondering what the correct slippage and commission rate settings are to produce an accurate result.

One size does not fit all.

Market and symbol should get you fairly reasonable inputs.

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  #3 (permalink)
Salem, Oregon
 
 
Posts: 10 since Jun 2020
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I'm using .25 as the slippage in the "backtesting" tab (which equates to $12) and $2.5 for commission "per share/contract" in the General tab. I'm trading the E-mini S&P 500 ESM60. I'm also using the "fill entire order when trade occurs at limit price or better" but sometimes double check my strategies by switching to "fill entire order when trade exceeds price limit" momentarily. What else can I do to firm up my strategies' equity performance reports?

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June 21, 2020


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