Trading the S&P emini and have been running backtests. Trying to determine what would be considered scalping and what would not. I understand that a strategy that shows 1,2 or 3 ticks profit is not a realistic system to trade at least not on TS but what about 6,8 12 ticks? Is that reasonable and if so does that change when trading bigger lots? If I was trading two emini contracts and winning 8 ticks(2 points) of profit and showed good live results then decided to add position sizing and the strategy went up to 10 contracts per trade(just an example), is 8 ticks of profit still reasonable to obtain or would there be too much slippage with 10 contracts and that my expectations of a real profit in ticks using 10 contracts need to be higher?



What is a reasonable way to account for slippage in TS using the S&P Emini? Slippage = 1 tick per side per contract or just 1 tick per side no matter the number of contracts?

Usually I count 1 tick per side for slippage on any back test or estimation I do.

EDIT: Just realized this was under Tradestation. My slippage count for just in general, not geared towards any platform.

Does that match what you see in live trading?

Yes and no. Most of the time if I do slip it is one way though, but it is always better to be conservative. I've seen slips up to 4 ticks, and I have had orders with no slippage at all.

You also have to take into account the order types you are using. I almost always enter on a limit and exit on a stop. SO the limit doesn't slip, but the stop will. If you entered and exited on limits then you shouldn't slip at all. Again all of this is hard to include in backtesting, so I just assume that I will slip a point on each side as it seems to avg that way.