I'm backtesting a strategy for er2, es, nq, and ym on Tradestation. How much slippage, on average, should I expect if using stop market orders for say 1-4, 5-9, or 10-20 contracts? Thanks in advance.
I normally use one tick on each side (the buy and sell order). And then inflate the commissions a bit. This usually provides a more accurate picture. On the YM for example I'd enter in $10 slippage per contract ($5 per tick x 2 ticks) CajunSniper / Puretick.com Administrator-Trader