Slippage for Backtesting

Discussion in 'Strategy Development' started by ultradyne, Jan 14, 2008.

  1. ultradyne


    I'm back-testing a simple intraday momentum system for the ES with NinjaTrader. What setting should I use for slippage (in ticks) to ensure robust results?
  2. MGJ


    I suggest you make a list of your 200 most recent real-life, real-money trades, and determine the actual real-money slippage you experienced on each of them. Then I suggest you calculate the mean and standard deviation of this slippage dataset. For backtesting, I suggest you use (mean slippage) plus (0.5 * standard deviation of slippage).
  3. the measure of slippage depends on a liquidity of instrument that you trade. I set a 0.05% for a instrument with great liquidity
  4. vikana

    vikana Moderator

    in my experience you can use 1 tick per side as slip and be very close.
  5. The ES is liquid enough that 1 tick per side should be plenty almost all the time.