Slippage in Backtesting - futures io
futures io



Slippage in Backtesting


Discussion in EasyLanguage Programming

Updated
    1. trending_up 468 views
    2. thumb_up 1 thanks given
    3. group 0 followers
    1. forum 8 posts
    2. attach_file 0 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 150,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Slippage in Backtesting

(login for full post details)
  #1 (permalink)
 gftrader 
Cleveland, Ohio
 
Experience: Advanced
Platform: Tradestation
Trading: Futures
 
Posts: 14 since Aug 2022
Thanks: 6 given, 3 received

In your experience using TradeStation backtesting, do you normally use slippage per trade or slippage per contract? For example, I am working on a MCL script, and I know 1 tick is equal to $1.00. So, I factor in $2.00 (2 ticks) of slippage per trade (which is just my stop loss, my entry is a limit order). However, I was wondering if it would make more sense to set slippage per contract instead of per trade? I don't think we would set $2 of slippage per contract, especially on larger orders.

Thoughts?

Started this thread Reply With Quote

Can you help answer these questions
from other members on futures io?
How do I create Strategy with the Second Entry indicator
NinjaTrader
help with take profit several targets
TradeStation
Big Mo Indicator for NT8
NinjaTrader
Market on Close data within IB
Platforms and Indicators
How to pay for market data with Dorman LLC
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Is anyone actually making money?
88 thanks
An embarrassing, honest confession
25 thanks
Sierra vs. Ninja : why I chose .....
8 thanks
ApexTraderFunding.com experience and review
8 thanks
Want your NinjaTrader indicator created, free?
7 thanks
 
(login for full post details)
  #2 (permalink)
 tr8er 
Market Wizard
Europe
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
 
Posts: 644 since Jan 2017
Thanks: 187 given, 651 received

IMHO of course per contract and sorry, I don't understand your logic because of larger orders, you can be sure, the larger the order, the larger the slippage (special with thin markets)

Reply With Quote
 
(login for full post details)
  #3 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,465 since Jul 2012
Thanks: 1,827 given, 6,985 received


always use per contract

Follow me on Twitter Reply With Quote
 
(login for full post details)
  #4 (permalink)
 gftrader 
Cleveland, Ohio
 
Experience: Advanced
Platform: Tradestation
Trading: Futures
 
Posts: 14 since Aug 2022
Thanks: 6 given, 3 received


tr8er View Post
IMHO of course per contract and sorry, I don't understand your logic because of larger orders, you can be sure, the larger the order, the larger the slippage (special with thin markets)

So you think $2 slippage per contract (if thereís usually 1-2 ticks of slippage) is the correct way to approach this?

I think I meant larger orders would see 30 ticks or more of slippage if I took the $2 per contract slippage approach.

Started this thread Reply With Quote
 
(login for full post details)
  #5 (permalink)
 gftrader 
Cleveland, Ohio
 
Experience: Advanced
Platform: Tradestation
Trading: Futures
 
Posts: 14 since Aug 2022
Thanks: 6 given, 3 received


kevinkdog View Post
always use per contract

2 ticks of slippage per contract? That seems like a lot for MCL, but Iím relatively new to this.

Started this thread Reply With Quote
 
(login for full post details)
  #6 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,465 since Jul 2012
Thanks: 1,827 given, 6,985 received


gftrader View Post
2 ticks of slippage per contract? That seems like a lot for MCL, but Iím relatively new to this.

I don't trade MCL (I trade CL instead), so I'd recommend 2 to start, and after enough real fills, you might decide to reduce it or increase it.

Looking at bid ask spread for a minute, it could be more than 2 ticks. I see it bouncing from 1-4 ticks, usually 2 though.


It might seem like a lot, and it is, because it is a significant cost of doing business. It will kill many strategies.

Of course, limit order have no slippage, but they have their own gotchas.

Follow me on Twitter Reply With Quote
 
(login for full post details)
  #7 (permalink)
 tr8er 
Market Wizard
Europe
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
 
Posts: 644 since Jan 2017
Thanks: 187 given, 651 received


gftrader View Post
So you think $2 slippage per contract (if thereís usually 1-2 ticks of slippage) is the correct way to approach this?

I think I meant larger orders would see 30 ticks or more of slippage if I took the $2 per contract slippage approach.

I don't have experience with MCL, I just trade CL (3 contract max) and there is the slippage around 1 tick or a bit less. MCL has around half the volume of CL, but the moves should be similar, so you should use the amount of your trading experience with it.

Reply With Quote
 
(login for full post details)
  #8 (permalink)
 gftrader 
Cleveland, Ohio
 
Experience: Advanced
Platform: Tradestation
Trading: Futures
 
Posts: 14 since Aug 2022
Thanks: 6 given, 3 received


kevinkdog View Post
I don't trade MCL (I trade CL instead), so I'd recommend 2 to start, and after enough real fills, you might decide to reduce it or increase it.

Looking at bid ask spread for a minute, it could be more than 2 ticks. I see it bouncing from 1-4 ticks, usually 2 though.


It might seem like a lot, and it is, because it is a significant cost of doing business. It will kill many strategies.

Of course, limit order have no slippage, but they have their own gotchas.

Thanks! Any experience with NQ and MNQ and the usual slippage per contract with those?

Started this thread Reply With Quote
 
(login for full post details)
  #9 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,465 since Jul 2012
Thanks: 1,827 given, 6,985 received


gftrader View Post
Thanks! Any experience with NQ and MNQ and the usual slippage per contract with those?

I would recommend for any instrument first looking at the typical bid/ask spread, and using the upper end of what you see.

I have pretty detailed estimates for just about every futures market, based on statistical analysis and real money trading, but I can't freely share those.

But the spread is a good starting point for most markets (Gold would be an outlier to that rule).

Follow me on Twitter Reply With Quote
The following user says Thank You to kevinkdog for this post:


futures io Trading Community Platforms and Indicators EasyLanguage Programming > Slippage in Backtesting


Last Updated on August 17, 2022


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
     



Copyright © 2023 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts