__fetcheruser123
msg #46344
- Ignore __fetcheruser123 |
8/13/2006 12:44:04 PM
I was wondering what everybody does to account for slippage? When I'm looking at a backtest, I export the trades to Excel and then recalculate the gain/losses to account for trade costs (usually about $20). But, I also started thinking about accounting for slippage by increasing the trade costs to something like $50 or $100. Also, another idea was to subtact a percentage from every trade. Thoughts?
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TheRumpledOne
6,529 posts
msg #46350
- Ignore TheRumpledOne |
8/13/2006 12:52:17 PM
I don't worry about slippage.
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__fetcheruser123
msg #46357
- Ignore __fetcheruser123 |
8/13/2006 5:50:46 PM
Why don't you worry about slippage, TRO?
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dewman723
1 posts
msg #46359
- Ignore dewman723 |
8/13/2006 10:24:01 PM
limit order
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TheRumpledOne
6,529 posts
msg #46363
- Ignore TheRumpledOne |
8/14/2006 10:18:05 AM
I don't focus on distractions.
When I am in a trade only ONE THING MATTERS - PRICE!
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__fetcheruser123
msg #46366
- Ignore __fetcheruser123 |
8/14/2006 12:26:49 PM
Well, I'm talking in reference to backtesting a filter. Taking into account slippage and trade costs...
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glider
59 posts
msg #46488
- Ignore glider |
8/19/2006 8:44:41 PM
,
I agree with you that slippage is important and should be taken into account. I also export my data to excel. I created a cell for costs. I entered $10. My trade result formula is ((SellPrice - BuyPrice) - Costs)). You can change the amount in the cell to see how an increase/decrease will affect the bottom line.
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