When I backtest a futures strategy in the strategy analyzer, how is slippage factored in? Is the total subtracted from the net P&L or is the slippage estimate factored into the individual trades.
I have noticed on a standard test adding in a slippage value won't change the net P&L, but on a walk-forward optimization, the net P&L will change.
Also, is the slippage estimate any different on FOREX testing?
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