Slippage value backtesting equities?

[Scotty.Trump]

Hello,

I am backtesting S&P 500 instruments on daily data for a couple of systems but have never traded stocks live. I have no idea what to expect or what values to set for slippage. Entries and exits are both immediately at open. I know that slippage will vary based on bid/ask spread and liquidity and I will find slippage for GS much much higher than for C.

Can anyone give me a general idea what to expect and what value would be appropriate when backtesting and including slippage. When backtesting all S&P components at once, I have been using 5 and 10 cents/ ticks but I have no idea whether I am in the right ball park. Position size == $10,000 / Price with no rounding.

Thanks!!

[NinjaTrader_Austin]

Scotty, the best way to determine slippage is to run your strategies live (on a sim account!) and see what happens.

Generally, you can set slippage to the typical spread + one or two ticks to get fairly accurate results.

[Scotty.Trump]

Thanks Austin, I will give it a try.