Optomize with or without slippage?

Opto w/ or w/o slippage

  • Opto with slippage

    Votes: 8 72.7%

  • Opto without slippage

    Votes: 3 27.3%
  • Total voters
    11
Depends on what you understand as "optimize". If you're doing a search or data mining, you may want to remove slippage at first and add it later as the search progresses. It also depends a lot on what time scales you're using and your assumptions as to what "slippage" really is and how it affects market and stop orders. On 1 minute bars it might be important, whereas on 30 minute bars you can tone down the pessimism or even switch it off. Accurate slippage models require a considerable amount of data, but you'll still be left with assumptions. In the end, it's a matter of taste for risk.
 
Quote from tenthousandmen:

Is it best to optimize with slippage, or without slippage, and test for slippage after you have your desired data?
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IMHO, if you're optimizing, you're already cheating yourself. And if you're doing it without slippage you're cheating yourself even more.
 
Quote from januson:

IMHO, if you're optimizing, you're already cheating yourself. And if you're doing it without slippage you're cheating yourself even more.
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:D Optimizing can be used in a number of different ways.....it all comes down to what u are doing and how.
 
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