Slippage in backtesting / optimization Strategy Analyzer

[adamus]

That is obviously a perfectly valid assumption.

I like to apply the spread cost (buying at the ask and selling at the bid) to my trades as well as slippage and commission. It's easiest to add the spread cost to the slippage property because it's in the same units.

Obviously it didn't occur to me that NT only applies the slippage to order types which suffer from slippage.

I guess I'll have to add it to the commission instead.

Thanks for the info.

[adamus]

On a related note, can NT backtest against bid/ask tick data?

[NinjaTrader_JoshP]

Yes, provided you have historical bid/ask data. In your backtest dialogue, change "Price based on" from "Last" to "Bid" or "Ask".

[adamus]

Bid or Ask?

Isn't it possible to buy at the ask and sell at the bid?

What is the logic behind seperating them like this and allowing a strategy to trade only at the bid? You wouldn't often be able to buy at the bid with a market order in real life, would you? Unless you happen to be working at Goldman Sachs or Deutsche Bank.

[NinjaTrader_JoshP]

If you are simply trying to fill orders at the bid/ask, just submit limit orders at the bid/ask prices. This still requires you to have historical bid/ask data which is typically not available from all data providers.

Whether you can get filled in real life at the bid/ask is usually "harder" than a market order. Your experience may vary with different brokerages, your internet latency to the brokerage, etc.