How much Slippage to Use when Back testing and Optimizing

[SimpleMeLike]

Many times, I have seen that the slippage of some ticks doesn’t make any sense with the information that we see on the bars. In such cases, if the price goes outside the bar range because of slippage, the order still gets filled within the bar range. So, it’s always better to try back testing at different slippages so that you know the difference.

Thank you florinavintage for the help.

 

[Scataphagos]

Hello everyone,

I am back testing and optimizing algo strategies in NinjaTrader 8 Strategy Analyzer.

I am testing strategies in the futures (NQ, ES, CL, GC, RTY etc. ) market.

How much slippage do you use for market entry and exit orders per trade during your optimization and forward testing?

Currently I am using 2 ticks to stay on the conservative side and see more realistic results.

Thank you,

If your fills and slippage make a significant difference to your results, you're "fishin' in a dry hole".

 

[SimpleMeLike]

If your fills and slippage make a significant difference to your results, you're "fishin' in a dry hole".

Good Morning Scataphagos,

LMFAO HAHAHAHAHAHAHHAHA

You right Scataphagos. Good laugh.

Thank you sir.

"Keep it Simple Baby" says Scataphagos

 

[Scataphagos]

Good Morning Scataphagos,

LMFAO HAHAHAHAHAHAHHAHA

You right Scataphagos. Good laugh.

Thank you sir.

"Keep it Simple Baby" says Scataphagos

I remember years back when an ETer queried, "How can I buy at the bid and sell the ask"? If I could do that my system would be "killer-profitable". We all chortled.

 

[globalarbtrader]

%%
!00% sure NQ will average more slippage than ES;
a same with TQQQ.....+ SPXL/UPRO.
Except for this year LOL, profits average better in TQQQ, generally speaking. NOT a prediction , not bank insured \not insured by any federal agency............................................................................ .........................................................................

That's what I see at least on the micros; both markets have tick values of 0.25 price points, but the sampled average is about 0.13 price points for S&P (just over half a tick) and 0.20 for NQ (about 0.8 of a tick).

GAT

 

[Overnight]

I remember years back when an ETer queried, "How can I buy at the bid and sell the ask"? If I could do that my system would be "killer-profitable". We all chortled.

Too bad that ET'er never knew about the all-powerful buttons on Nina's chart trader. If he had it, he could be a killer-millionaire I guess.

Very silly.