Should I use Slippage and Commission with Optimization

[simple_goodoboy]

Hello all,

I am using NT8 Strategy Analyzer to Optimize some strategies from data from 2015 to 2018 for the best looking equity curve.

Question:

1. Should I not use commission and slippage during optimization? I am thinking if I use commissions ($3.98 per round trip) and slippage (2 ticks slippage), the optimizer will produce results/parameters to compensate the commission and slippage.

2. I was thinking to not use slippage and commission during the optimization and testing with data from 2015 to 2018, but once I want to finally test the optimized results, I use commission and slippage from 2018 to present.

Can I please have some help with this questions?

Thanks

[NinjaTrader_PaulH]

Hello,

Thanks for your post.

You can always test both scenarios (with and without).

Commissions and slippage would add more cost to each trade, but the overall health of the optimization is determined by the fitness metric.

Using Slippage and Commissions that fit your scenario would make the optimization closer to what would happen when trading live.

[simple_goodoboy]

Hello,

Thanks for your post.

You can always test both scenarios (with and without).

Commissions and slippage would add more cost to each trade, but the overall health of the optimization is determined by the fitness metric.

Using Slippage and Commissions that fit your scenario would make the optimization closer to what would happen when trading live.

Thank you Paul,

If I test with optimization, I am thinking the optimization engine will curve fit the slippage and commission to make the numbers look good.

Thank you,