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Slippage Calculations for Optimization
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Slippage Calculations for Optimization

  #1 (permalink)
Elite Member
Pittsburgh, Pa
 
Futures Experience: Intermediate
Platform: Ninjatrader
Broker/Data: Zen-Fire
Favorite Futures: CL,ES,6E
 
benharrell's Avatar
 
Posts: 235 since Aug 2009
Thanks: 350 given, 96 received

Slippage Calculations for Optimization

am in the middle of testing some strategies using Big Mike's tick data for Multicharts (BIG thanks!), and had some questions in regards to Slippage. Just like Ninjatrader, you are given the ability to include slippage in your backtesting results. This is something that I definitely want to do, it will give myself as clear of a picture as you possibly can get when backtesting. Multicharts explains slippage and the settings to be used as follows:


"Slippage - the amount reserved for differencies between the expected and actual order execution
price. The commission can be set on "per contract" or on "per trade" basis.


With Per Contract option, the Slippage value is multiplied for the each trade by the double
number of contracts in the trade (i.e. for Entry and Exit).
With Per Trade option, the Slippage value is multiplied for each trade by the 2 (i.e. for Entry and
Exit).
The default Slippage value is zero.


My question is, is there a way for an intermediate trader like myself, to figure out slippage for CL, using a 10 range bar, trading during pre-market and normal market hours? All of my studies have revealed its quite complex, but is there a general rule of thumb that some of you use?


Big Mike: When running optimizations and backtesting in Multicharts for CL, what slippage setting do you use (Per Contract, or Per Trade) and what dollar value do you use for that setting? It will give me a base to start from.


Thanks so much for your help!

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  #2 (permalink)
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  #3 (permalink)
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Hi Ben,

If you are trading under 5 to 10 lots at a time, then 1 tick slippage per contract is usually enough for say Europe open to US close. This assumes a Market order entry, but a limit order exit. So you are giving up 1 tick slippage on the entry.

Mike

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  #4 (permalink)
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You might check here as well:

https://futures.io/psychology-money-management/5671-expected-slippage-vs-order-size.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #5 (permalink)
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Thanks!

Hi Mike,

Thanks for the input, I'll spend time on the provided thread as well. As always, thanks for the prompt response!

Best,
Ben

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  #6 (permalink)
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Calcutta, India
 
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have a look at this.

NinjaTrader Support Forum - View Single Post - How NT7 factor Ask/Bid in Backtesting?

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  #7 (permalink)
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AFAIK, that has been proven more or less worthless for any backtesting as it is not sync'd with the 'last'. MultiCharts has the same problem afaik, you can add the bid/ask dataseries but it is not kept in sync with last.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #8 (permalink)
Elite Member
Calcutta, India
 
Futures Experience: Intermediate
Platform: ArthaChitra
 
Posts: 278 since Jun 2009
Thanks: 161 given, 259 received


Big Mike View Post
AFAIK, that has been proven more or less worthless for any backtesting as it is not sync'd with the 'last'. MultiCharts has the same problem afaik, you can add the bid/ask dataseries but it is not kept in sync with last.

Mike

true mike.

best is to built an separate app, sync the data, feed the same to NT and do the needful. the concept is worth the pain, perticularly in this part of the world where slippage/impact cost is very high and very erratic in nature.

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