Slippage and commissions

[lgarcia3]

I was wondering what is the best approach for setting commissions and slippage. The reason I ask is because I created a strategy, charge it heavily in commissions ($35/trade) just to make sure I covered both. I got good results even with that penalty. I later set commissions to 0 and added just 3 ticks slippage and the results are not as good. I guess slippage takes a bigger toll on the trade?

[NinjaTrader_Bertrand]

This would largely depend on which market and time you're expecting to trade this - slippage is entered in ticks, so depending on the tick size it could be more then your commissions entered. If your for example trade ES in the normal day / cashsession and use the default fill algorithm when backtesting, the 35$ seems too much to me, a tick should do it.

[lgarcia3]

Ok, thanks! and yes, I am talking about ES during regular hours (8:00 to 3:15 cst). Well, actually it is not so bad. I have tested it with the regular commissions and it is very efficient since it does not have to actually pay all that money. What you say, 1 tick, for ES is $12.50, correct? So, that plus commissions is probably something between $15 and $20. So, I guess it is ok to have done that.

[NinjaTrader_Bertrand]

Yes, I would think so, too - of course only real world testing will confirm or deny this for your strategy, but as said those values should be ok since ES is very deep at those times.