No slippage available in tick backtest ?

[kissandfly]

To have the more realistic backtest on a tick strategy, on ES : it seems that slippage does not change result, so is it better to include it in commission? As normal slippage is 1 tick on ES : Ask = historic price + 1 tick, so I had 12,5$ in my commission ? right ?
thanks

[NinjaTrader_RJ]

Hello Kissandfly,

Thank you for your post.

1.) I just tested and even a slippage of 1 entered under one of my strategies alters the results as compared to 0 slippage.

2.) I'm not sure how you want your commission set up? Are you adding a little more to commission? If so, please tell me what you are currently using for commissions for one side, and the amount you would like to add.
For example: $3.00 one side + $.50 (simulated slippage) = $3.50 entered for your commission level.

[kissandfly]

Thanks for your quick response.
Attached same results with or without slippage.
(I used 4$ commission, 0 or 1 slippage)
So to make it more realistic I will use :
per side commission 4$ + slippage 1 tick : 0,25 point on ES so 12,5$
total commission per side for backtesting : 16,5$
Does it seems good for you ?
When I backtest in minute slippage works, but I confirm, not in 1 tick backtest.

[NinjaTrader_RJ]

I tested as well and did have a difference with tick data as well...

Please test with another strategy, such as the SampleMACrossover default strategy.

Your calculations for the commission look correct, which would equal 1 tick slippage per side.

[kissandfly]

You re right with SampleMAcross, it works. Because of slippage, strategy takes less trades. I think that's the only difference.
But...;-)..., try with SampleHighLow, which is just price action, and there is no difference with or without slippage.

[NinjaTrader_RJ]

I don't have a SampleHighLow Strategy, is this one you built?

I tested with a price action only strategy, which was buy after 4 bars down, and the slippage worked as expected with tick data.

Try repairing your database and test again: Tools --> Options --> Misc --> Repair DB.

[kissandfly]

DB repaired but same.
Strange than this happen only on tick backtests and price action.
All other idea welcome...
thanks anayway

[NinjaTrader_RJ]

I just tested with that strategy and all worked as expected.

I am posting my strategy parameters so you can test with the same parameters.

[kissandfly]

I understand now.
You use a 100 tick data serie.
I use a 1 tick data serie for my high frequency scalping.
YOu are right it is ok with a 10 or more ticks data series, but my problem is only with 1 tick data series.

[NinjaTrader_RJ]

I understand now.
You use a 100 tick data serie.
I use a 1 tick data serie for my high frequency scalping.
YOu are right it is ok with a 10 or more ticks data series, but my problem is only with 1 tick data series.

Yes, at a 1 tick granularity, there is no other price available for your strategy to fill at. So, you will have to use your commission method.