Slippage does not appear to be taking affect

[NinjaTrader_PatrickH]

My main point is the slip is not shown on the summary page on first pass but shows if you select a different choice on the drop down menu then select back to summary. Please reference my upload picture one.

This is unexpected and I will report this to development.

Additionally I understand that slip will never exceed the bar range but what I'm asking is slip applied to both the entry and exit if the range of the bar allows?

Slippage is applied to all executions where it is possible. This includes both the entries and exits.

One additional question. Is there a way to show all of the performance metrics for the entire Walk Forward Optimization rather than just the individual OOS (out Of Sample) periods. So can I create an equity curve from the whole of the walk forward? Am I just missing how to do this or does it not exist? If not can we add that as a future enhancement request?

I will check with development, but I think this will be a feature request.

Thank you for your notes, I will follow up here with additional information.

[GuppyDRV]

Patrick,

Thanks for the help. I have created an excel application that does this but I still have to manually click on each page that I want to export and select export.

Do you know of a way that I could automate this? As in could an Add on be built that makes the connection.

If anyone else wants the excel app that I have built I'll post it.

GuppyDRV

[GuppyDRV]

This is unexpected and I will report this to development.


Slippage is applied to all executions where it is possible. This includes both the entries and exits.


I will check with development, but I think this will be a feature request.

Thank you for your notes, I will follow up here with additional information.

Patrick,

I just did another check and it appears that slippage is only being applied to the entry. I built a simple strategy to ensure that the bars were huge so that bar size could not impact. BTW I am only using market orders.

I'm sure it's been a process but when done NT8 looks like a real upgrade from NT7.

GuppyDRV

[NinjaTrader_PatrickH]

Patrick,

Thanks for the help. I have created an excel application that does this but I still have to manually click on each page that I want to export and select export.

Do you know of a way that I could automate this? As in could an Add on be built that makes the connection.

If anyone else wants the excel app that I have built I'll post it.

GuppyDRV

Can you provide a screenshot of the report(s) you wish to merge?

[NinjaTrader_PatrickH]

Patrick,

I just did another check and it appears that slippage is only being applied to the entry. I built a simple strategy to ensure that the bars were huge so that bar size could not impact. BTW I am only using market orders.

I'm sure it's been a process but when done NT8 looks like a real upgrade from NT7.

GuppyDRV

Can you provide a screenshot showing the exits with no slippage?

[GuppyDRV]

Patrick,

Will do but am out for the holiday as of now. I'll catch you after the long weekend. I hope you have a good Turkey Day as well.

GuppyDRV

[jcash]

slippage incorrect

pic was two runs with the SampleMACrossOver strategy. "total slippage" shows as 0.34375 points (0.34375/0.03125 = 11 so the analyzer applied slippage to 11 of the 12 orders). given ZB has a $1000 point value, difference between "total net profit" should be $343.75. it is not, it is $218.75.

[GuppyDRV]

I'll try and get a few screen shots today to show the slip not being applied to the exit. I'm assuming it should be? Patrick can you confirm that slip should go on the entry and exit as in if I set slip at 2 I should see 2 on entry and 2 on exit for total slip on trade of 4? Or will it put 1 on entry and one on exit for total slip of 2? I believe NT7 used the first example of total slip of 4!

Any additional word on why slip will not show on first pass on the Analyzer screen but appears after I have selected some other display from the drop down list as shown in an above mention post?

GuppyDRV

[GuppyDRV]

pic was two runs with the SampleMACrossOver strategy. "total slippage" shows as 0.34375 points (0.34375/0.03125 = 11 so the analyzer applied slippage to 11 of the 12 orders). given ZB has a $1000 point value, difference between "total net profit" should be $343.75. it is not, it is $218.75.

@Jcash

There might be instances where the Bar price range is not sufficient to apply slip. I believe but am asking for clarification that NT8 will take this into account. It might be applicable in your example.

GuppyDRV

[jcash]

@Jcash

There might be instances where the Bar price range is not sufficient to apply slip. I believe but am asking for clarification that NT8 will take this into account. It might be applicable in your example.

GuppyDRV

GuppyDRV,

good point. but i'm not really concerned with how many orders had slippage applied. 11 of 12 orders seems pretty good considering backtesting is constrained to high and low and not bid and ask.

NT8 isn't applying the slippage that the analyzer determined through the historical fill engine. should have been $343.75 vs the $218.75.

[NinjaTrader_PatrickH]

pic was two runs with the SampleMACrossOver strategy. "total slippage" shows as 0.34375 points (0.34375/0.03125 = 11 so the analyzer applied slippage to 11 of the 12 orders). given ZB has a $1000 point value, difference between "total net profit" should be $343.75. it is not, it is $218.75.

The Exit On Session Close executions do not have slippage applied. Please disable "Exit on session close" and run the test again. You should see that only the last execution does not have slippage applied as it is an Exit On Session Close.

[NinjaTrader_PatrickH]

I'll try and get a few screen shots today to show the slip not being applied to the exit. I'm assuming it should be? Patrick can you confirm that slip should go on the entry and exit as in if I set slip at 2 I should see 2 on entry and 2 on exit for total slip on trade of 4? Or will it put 1 on entry and one on exit for total slip of 2? I believe NT7 used the first example of total slip of 4!

Any additional word on why slip will not show on first pass on the Analyzer screen but appears after I have selected some other display from the drop down list as shown in an above mention post?

GuppyDRV

I can confirm that slippage will be applied to exits. Make sure to understand how the Standard Fill Resolution affects the fills as well by visiting the Understanding Order Fill Processing page: http://ninjatrader.com/support/helpG...ical_fill_.htm

For why it is not showing on first pass, can you detail what 'Backtest type' you are running and what Display you are viewing? Is this the Summary Display?

[GuppyDRV]

Yes the summary page but applied everywhere else and miraculously appears on summary if you select off then back to summary. The summary page for Back Test and WFO produce this issue. Still not getting slip on both sides of a trade even using internal moving average crossover. How would fill resolution effect this outside of a bar to small to accommodate said slip?

GuppyDRV

[NinjaTrader_PatrickH]

Hello GuppyDRV,

Thank you for your response.

For the fill resolution refer to how historical fill algorithm works: http://ninjatrader.com/support/helpG...lFillAlgorithm

Perhaps we can setup a remote session to look into this with you on your PC?
Please write in to platformsupport[at]ninjatrader[dot]com with 'ATTN: Patrick H' in the subject line and reference this thread in the body of the email if you would like to set up a remote support call.

I look forward to assisting you further.

[GuppyDRV]

It gets really old just being referring to a link so I say again how would fill resolution effect slippage not showing on the summary page or being applied to both sides of a trade. The trade bars a more than large enough to accommodate slippage. The order type is market only.

Thank you for you reply.

GuppyDRV