Slippage

[pultimo]

Hi all,

in your opinion/experience which is an optimum level of slippage to set for a realistic strategy backtesting on futures?

Thanks for answers

[⭐ Meow]

1-2 ticks, not more than that, unless you are trading DAX or Soybean futures.

 

  pultimo said:

Hi all,

in your opinion/experience which is an optimum level of slippage to set for a realistic strategy backtesting on futures?

Thanks for answers

[pultimo]

Damn..at the moment i'm focused on dax and my system performs well with a slippage of 2.. How much I have to increase it in your opinion?

[⭐ Meow]

It depends on the volatility of that particular bar. But I guess 3-4 ticks slippage is possible on stop orders, cause even the spread between bid and ask is widening to few ticks sometimes. Better execution with limit orders, just to mention.

 

  pultimo said:

Damn..at the moment i'm focused on dax and my system performs well with a slippage of 2.. How much I have to increase it in your opinion?

[doodlebug]

And keep on mind that if your Sl is visible it maybe slipped and also if you can place limit orders you will get filled earlier in the queue, Doo

[pultimo]

Thanks for answers. I'm trying to translate my system to ES with market orders only but not surprisingly doesn't perform very well: different parameters and few time... Well, I'm not getting rich.. again.. :) Maybe next time ;)