slippage with backtesting

[birdog]

hi folks,

does the slippage account for both turn in and out?

in other words:

if one puts "2" in the slippage does it account for a 2 tick slip in and also a 2 tick slip out of the trade? if it does not, then i guess one would use 4 for slippage in order to get the same effect?

I just need to know how it is setup to calculate within nt to be sure...



Greg

[NinjaTrader_Bertrand]

Hi birdog, the slippage would be applied per execution for any market / stop market order. So if you enter and exit via market - you see 4 tick slip for the trade, if you exited via a limit order profit target - 2 ticks. As the limit could not have slippage, you either get the price or not.

[birdog]

ri

Right...but on the slippage for nt backtesting purposes:

if i put in 2 for the slippage will it calculate 2 ticks slippage both in and out effectively actually being 4 ticks total for the round turn trade? That makes a difference...so, i just need to know how nt handles this during slippage backtesting?

if it does not do it per the about i would have to enter 4 instead of 2.

makes sense?

please let me know...

[NinjaTrader_Bertrand]

Greg, my statement was for backtesting, as in realtime trading or simulation this would not be effective but determined by the actual fills you got either live or from the simulation engine.

It's simply added to each market order based execution.

[birdog]

Still not clear...I will figure it out I guess...

[koganam]

Still not clear...I will figure it out I guess...

"... each market order based execution" means to the entry and to the exit, each separately, if they are market orders. So if you enter the trade with a market order, 2 ticks slippage is applied on entry; if you exit the trade with a market order, 2 ticks slippage is applied to the exit. Therefore, the trade will have a total of 4 ticks slippage, if both orders are market orders.

[koganam]

...
if i put in 2 for the slippage will it calculate 2 ticks slippage both in and out effectively actually being 4 ticks total for the round turn trade? ...

In a nutshell, "yes".

[birdog]

@koganam that clears it up for me in regards to how NT handles with back testing...thank you both...

[birdog]

In a nutshell, "yes".

See my other reply and thanks again...