The title says it all. I am wondering what people are using for slippage and commissions when backtesting the micro future indexes @MES, @M2K, @MNQ, and @MYM.
For @ES I'm using $12.50 slippage and $5.00 commission. I have some software that suggests $1.25 slippage and 0.62 commission for MES and I'm wondering how correct this is.
Since micros are 1/10th the size of minis, the $12.50 slippage of mini is probably how the value of $1.25 slippage for the micro was arrived at.
I also signed up for the Tradestation promo which ended last month where I get 50% off commissions for life, so hopefully that helps. Slippage and commissions are really destroying my nice upward equity curve, but I should probably just put one contract on and see what happens and even if I lose for a month I'll get some data. It's my first strat. The recent downturn of the whole market makes me feel like I'm entering at a scary time, unless this is the bottom, in which case I'll have unreasonable expectations for everything else going forwards.
Thanks.
Can you help answer these questions from other members on futures io?
At minimum you should include 1 tick of slippage but I recommend 2 ticks of slippage per trade per contract for back testing. If 1 tick of slippage means you go from a profitable system to an unprofitable system, you may want to reconsider/rethink/redesign that system.
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