First of all, thanks to all who've been answering my questions so far. I'm backtesting a system now (in Excel) that scalps the NQ based on price movement. The system generates roughly 10 trades/day, with entry/exit prices based on the 5-minute bar closing prices. When I assume only commissions, the system is making money fairly consistently and with little drawdown. However, when I assume that I underperform by one tick on each side of the trade (two full ticks total for each round trip), my profit turns into a HUGE loss. Am I overestimating the error factor here? Should I assume a full one-tick slippage, even if I only plan to trade 2-4 contracts? Or, if the opening price of the following bar is in my favor, can I assume that my order got filled successfully at the close of the previous bar? Would it be better to scalp the ES instead, since it's more liquid and has a smaller tick size? Thanks again in advance for your help!