Slippage in strategy analyzer

[Joaqvil]

Hi there, I'm running some backtest's and optimizations with the strategy analyzer on the ES, I include the commissions, which are $2.5 for enter and $2.5 for exit (correct me if I'm wrong) and I also add 1 for slippage. Now.. what I don't understand is how slippage works? Because if I backtest a strategy maybe I got a negative profit of ($125) with around 820 trades, but when I add slippage that profit goes to ($16.800) !! How is that even possible?? I thought that 1 slippage means that the strategy is penalized 1 tick for enters and exits, but I don't get how just 1 tick can make such a huge difference.

[NinjaTrader_Emily]

Hello Joaqvil,

Thank you for reaching out.

You may verify the commission rates for the NinjaTrader Brokerage at the following link:

https://ninjatrader.com/PDF/ninjatrader_futures_commissions.pdf

The slippage setting in the Strategy Analyzer sets the amount of slippage, in ticks, that would apply to market, stop market, and MIT (market if touched) orders. You can review the amount of slippage, in points, on the Summary page of the backtest results.

So I may assist you more accurately, please answer all of the following questions:

• What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.?.?)
• Are you running backtests on strategies that you developed or are they imported from a third party?
• Do you see similar results when running the same test on the SampleMaCrossOver strategy in NinjaTrader with the same settings as your strategy?
• Who are you connected to? This is displayed in green on the lower left corner of the Control Center window.
• Are you connected to your data feed provider when running this test?
• What instrument(s) (and expiry if applicable) have you selected? You mentioned ES, correct?
• What Data Series Type have you selected? Example: Tick, Minute, Day
• What From and To date is selected?
• Is your strategy a multi-instrument or multi time frame strategy?
• Do you receive any errors on the screen? Are there errors on the Log tab of the Control Center? If so, what do these errors report?

I look forward to your reply.