Slippage Estimate in trades/P&L Strategy Analyzer

[CMillz]

This topic has possibly already been addressed, but I haven't been able to find a direct answer to my question.

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?

[NinjaTrader_PatrickG]

Slippage can be added to your order fills to help mimic real market conditions. The value is expressed in "ticks", the minimum value of fluctuation for an instrument, and is only applied to market and stop-market orders. NinjaTrader will add the slippage to each order however you cannot have more slippage then the high/low price of the next bar.

slippage is factored by individual executions. Not by trades, not by positions, and not by PnL.

Differences between a standard backtest and a Walk Forward Optimization is to be expected.

'Walk Forward Optimization' run optimizations and backtests over test periods. Thos differs quite a bit when compared solely to a backtest.

The following link goes into great detail about slippage behavior in the Strategy Analyzer:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?understanding_historical_fill_.htm#UnderstandingTheHistoricalFillAlgorithm

[CMillz]

Thanks Patrick, yes I did see that page, but I am still confused. Please see my attachments, I'd like to learn the exact calculation.

This is a test using 1 lot for CL futures. The first shows results with 0 slippage, and the second shows results with 1 slippage. The P&L difference between the two is -$160, so 1 tick of slippage for these results is worth -$160, and NT calculates that as 8.11 worth of ticks.

There are a total of 837 trades, and the tick value for CL is .01.

How do I get to the cost of $160 for slippage based on this data? My thought was (trades*slippage ticks)/tick value but that is not right. Can you help me with calculation?

[NinjaTrader_PatrickG]

The difference here is that one test is without slippage applied and the other with slippage applied. The summary page you're showing is a cumulative total of the slippage of all trades in the test.

The slippage is per execution, not per PnL or per trade.

There currently is no slippage column to add to the executions or trades tab, however, I will submit a feature request to add this to the platform.

[CMillz]

Yeah, I understand the difference, I meant for this to be an example.

So in my previous post what does 8.11 represent? 8.11 total ticks of slippage?

It seems to me this is the only spot on the report that provides details on the slippage estimate, correct? But we do see a dollar impact to the Net P&L from adding in slippage. Certainly there is some calculation that occurs to determine what that dollar impact is based on the slippage input. Is this just something proprietary you can not share? I understand if so, it just important to understand when basing a strategy on the tools you provide.

Thanks for your help.

[NinjaTrader_PatrickG]

The Summary is showing the total slippage over the trades. This would be the only section that shows specifically the slippage. I have submitted a feature request for more detailed slippage reporting. EDIT: the tracking number is SFT-2644.

The PnL is affected by the slippage as the slippage is changing fill prices where it can. This is not proprietary by any means.

[obwon1]

what is a good amount to enter for slippage then ? when back testing for example micro cl 3 months + ?

[NinjaTrader_Manfred]

Hello obwon1,

While we would not be able to give you an exact number, I would suggest taking a look at past executions to assess how much slippage you generally experience.

In a normal circumstance, I would not expect more than 1-2 ticks of slippage. Based on volatility, however, this can change.