backtesting futures without spread

[futureszone]

hello nt8 strategy development support team


when conducting backtesting on futures instruments, what deductions to consider beside all-in commissions?

i know there is no spread option to fill in backtesting and it doesn't matter in real live trading, i didn't notice it as well as slippage.

so do i need to consider spread to rely on strategy backtesting results and performance? if yes whats ur tips to calculate it?



looking forward to hear your feedback

[NinjaTrader_Jesse]

Hello futureszone,

This would depend on how you will trade in the strategy. You can include slippage in backtests, there is a property for that. Slippage would be helpful to include if you use market orders. The ask/bid spread would really only be useful if you are using ask/bid prices to place trades. You can use ask/bid data in your scripts if you would like to. You can also include commissions in historical tests by checking the Commission checkbox.

After backtesting it would be suggested to try the strategy in realtime because that is how it will actually perform. Backtesting and realtime tests can have discrepancies so that would be more of an estimate opposed to a realtime test which would be executing the same as it would on your live account.

https://ninjatrader.com/support/helpGuides/nt8/discrepancies_real-time_vs_bac.htm?zoom_highlightsub=discre

[futureszone]

thank you jesse

yes i include commissions and i will add slippage for market orders. ofcourse, i plan run demo on vps for a month or so.

i understand from your reply that spread is not important.

thank you jesse.