E-mini S&P, To Slippage or not to Slippage

Originally posted by wdbaker
All,
So when I backtest, if I put in the .5pt per rt for slippage, will that really be the case or not, can anyone who has taken a system live give feedback on real world results? When you took the system live did it have slippage or no? Is it possible to get data that would specify if the trade was bid or ask for backtesting?? Or is that just being a little to picky? :D :D

Would it be safe to say that if a system is breakeven or better after slippage & commissions that it might be worth trying out realtime or am I being to optimistic? If it has to be better than breakeven, how much??

Have I asked enough questions now, good thing ET doesn't charge per question. :D :D :D

Thanks All
wdbaker
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I use IB synthetic market stops with my system, and never encounter slippage with 5 or less contracts. A few months ago their was a tick or so average, but they changed the algorithm I believe. So if your buying, the trade is elected when the Ask price equals your stop, and you get filled on the Ask, sometimes even getting positive slippage. You constantly have the average equivalent of 30,000 to 100,000 shares of SPY at each level, so there is a lot of liquidity.

So if your using native limit orders or even the IB synthetic stops, slippage isn't a problem up to X contracts. Obviously you can miss a trade entirely with limit orders, that's why I like the synthetic market stops. Only problem is they aren't native on Globex so you have a little more risk.
 
Originally posted by mike_dell
sorry, lets try that spell checked..


when I use limits, I do not experience slippage....
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All,
Here's a good question, so if you use limits and you miss the trade at the limit price, do you move your limit or do you skip the trade, it seems that if you skip the trade that your system would not have a chance to reach its full potential, would I be correct in this???

wdbaker
 
yes, I do miss some good trades due to this. I am a control freak when it comes to trading, so I would rather miss a trade then experience heavy slippage. UNLESS THE market IS MAKING A CLEAN AND strong move.
 
Originally posted by wdbaker


All,
Here's a good question, so if you use limits and you miss the trade at the limit price, do you move your limit or do you skip the trade, it seems that if you skip the trade that your system would not have a chance to reach its full potential, would I be correct in this???

wdbaker
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Right, and then you run the risk of getting filled on a pullback that may not be a pullback at all but a full blown reversal.

Thou shalt not muzzel the mouth of the ox which treads the field.

That means, if you want to get in, tip the doorman .25.
 
Originally posted by profitseer
That means, if you want to get in, tip the doorman .25.
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P.S : I don't trade the E-mini but the ESTX50 wich is very liquid too.

I enter with a limit order at ASK+1 and BID-1 (tick on estx50 is 1pt). I'm always executed.
Over the long run I average about -0.4 pts slippage. That means that I've got 1 pt slippage on 4 out 10 trades.

I don't mind about it because I know that my best trades (those that makes a big part of my profits) are those on wich I've got the slippage.
These trades didn't retrace at all, that means I wouldn't have been executed if I entered at ASK or BID.

I tried to avoid the slippage but I know that it costs me more money to not be executed on big moves than to save 1 point slippage.

The only thing I can do is improve my entry.

About positive slippage, I've got some time to time. That means two things :
- I bought on a weakness (or sold on strength), so I'm probably wrong
- I've been lucky (or good) with my entry.
 
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