Approx. Slippage amount for backtesting

[Don22Trader1]

Hello NT Team & Fellow Traders,

I have created a strategy which I would like to implement on a wide range of markets. For backtest purposes, are there any resources, maybe a list of some sort, that shows an acceptable amount of "Slippage" for popular contracts. I have heard that "1" is typically used for ES and "3" for NQ. I like to test a range of slippage amounts but I am completely new to other markets and would like some kind of reference point to use.

Thanks in advance.

[QuantKey_Bruce]

The best thing you could do would be to collect the data under your circumtances. For instance, you could take the next 100 trades on NQ or MNQ of some simple but comparable trading strategy e.g. MA crossover or bollinger bands, etc. as a proxy for your real strategy. See how much slippage you get on a market order to enter, and on a market order to exit. Then, you have your answer and it's a far superior answer to anything someone else will tell you on the forum.

That having been said, yes, 1 is commonly used for ES. But, how much slippage you get depends on what type of strategy you are trading - trying to buy at market into a long trend / momentum breakout you get a lot more slippage than some other things. It also is heavily dependent on your trading hours.