Make backtest by spread.

[samir]

Hello, I want make backtesting with spread.

I do not understand what are the numbers that appear in the list of instruments and commissions.

For ejample in EUR/USD:

Minimum commission: "0.00000"
Per unit commission: "0.00006"

For ejample, i need set static spread 0.2 pips in EUR/USD, ¿How to set? (all orders is aplicated -0.2pips) What is "0.00001"

Very thanks and regards.

[NinjaTrader_AlanP]

Hello samir,

Thank you for your note.

When you refer to the spread, are you referring to the bid ask spread? What is it you are trying to achieve with this static figure you'd like applied to all trades?

I look forward to your reply.

[samir]

Yes,
I want to approximate the backtest a bit to reality, since for example 500 operations without a spread affects the results very much, I literally find that the backtest is not worth anything if they have more than 200 operations without a spread, depending on the broker and type of account the spread can vary up to more than 100% from one account to another. (Example: FXCM 0.2pips eur / usd, XTB micro 3.2 pips) more 100% diference.

Much more in intraday operations.

[NinjaTrader_AlanP]

Hello samir,

What you could do is create a custom performance metric which will count your total trades, then discount your total profit for TotalTrades*Ticks.

You could see SampleCumProfit preloaded on NinjaTrader under Control Center>New>Editor>PerformanceMetrics file. This script will add a row to the Strategy Analyzer equal to Total Net Profit and be displayed as “Sample Cumulative Profit”. (See picture).

At the following link you will see how to add a custom Performance Metric to the Strategy Analyzer,

https://ninjatrader.com/support/helpGuides/nt8/en-us/?performance_metrics.htm

You could use that as a template for how you could discount the total profit for your bid/ask spread factor.

Please let us know if you need further assistance.