One more newbie question

Discussion in 'Index Futures' started by catmango, Jun 9, 2003.

  1. I'm an equities swing trader, but I'm looking at doing NQ daytrading on the side, and I'm backtesting some strategies that involve doing all trades at the close of 5-min bars.

    I know these types of questions have been asked to death, but how difficult is it to get trades in at the close of a 5-min bar (both entry/exit, long/short) at the close price, and should I incorporate a slippage? In trading equities I usually aim for trading as close to the EOD close price as possible, and though largely successful, I still incorporate a 0.5% slippage in my backtesting. Is the slippage as high for NQ 5-min bars?

    Thanks for your help!
  2. Kap


    Index spreads are very very tight if u use a good provider
  3. TGregg


    Yeppers. If you are trading during "normal" trading hours (ie 9:30AM to 4:00PM ET) then spreads should just about always be one tick on ES and NQ.
  4. Thanks for the reply. So you're talking about two ticks total slippage on a round trip?