Golden Bay, New Zealand
Experience: Beginner
Platform: Sierra Chart
Trading: ES, NQ
Posts: 186 since May 2012
Thanks Given: 851
Thanks Received: 337
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Something else to consider is latency. I have 2-3 seconds from where my Sierra Chart spreadsheet sends off the order til when it is filled. So to bridge that gap I have the last price 2 seconds forward for the purposes of backtesting.
I also want to make the backtests as tough as possible, so for Market Order's I always assume I'm buying the sell price, with stop orders offset from that entry price. So in my backtest, I may "enter" at a price that was never traded. In my mind, I only incur slippage on the exit, as the entry price comes with the stop loss offset. I don't see a lot of slippage on the exit - i.e where I had a stop of 2.5 points, and end up with 2.75, and so I don't bother trying to account for that in backtests. In my Monte Carlo test, I can adjust the % of trades where exit slippage occurs, which tempers down the results to what might be expected in Live trading.
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