Slippage for trend following system

Discussion in 'Automated Trading' started by Zr1Trader, Mar 15, 2011.

  1. Hi, I have a trend following system that appears to work pretty well on a 5 min timeframe on up to daily timeframe. When system appears to work well I don't get all giddy because I know slippage and commissions is my next step to calculate.

    For a trend following system on the 5 min intraday session, long only with (limit orders) as entry , exit on close (market order), and a stop loss with a (market order) what should I be calculating for slippage? 1 tick, 2 ticks, 3 ticks? This is a basket of futures all traded when there is sufficient liquidity during RTH. 1 lot is being used at this point.

    It backrests better if I enter on market order so I am not missing any trades but how much slippage would I factor in if entering on market orders instead of limit? in forward testing it sometimes fills me a couple ticks to my advantage and sometimes a couple to my disadvantage so I 'm trying to figure this out before going live with it.

    Next question, this system also works well long and short with stop and reverse orders, initial entry would be market order , exit on close of session would also be a market order. Is it more efficient to use a reverse system without stops to reduce slippage?

    If I am looking to reduce slippage should I be aiming for higher timeframes and/or should i aim for more money made per trade?

  2. Slippage for me is defined as follows with my 1 lot.... I expect a fill at a price equal to the close of the previous bar when entering on the open of the next bar.
  3. bump. anyone with an automated system care to share what you calculate for slippage?
  4. 1.5 x tick size for futures
  5. Thanks algo,

    I'll get a better idea the longer I forward test too, is forward testing with ninja sim pretty accurate with fills ect ........ anyone, anyone?

  6. Eddiefl


    I dint use Ninja, but this an excellent thread, good topic. I hope yoiu get some feedback.

  7. You will find out reality is usually nowhere near simulation, unfortunately. At least in my experience.
  8. Can anybody explain why or why not a system that uses reverse orders is more beneficial than using stop orders?

    Lets say I am 1 lot long and i get a signal to go short now, so I have to sell 2 contracts at the market, would my trade be executed at the bid or the ask? Trying to wrap my head around this order execution bump in the road I have come across.

    Thank you in advanced to anyone that can advise.
  9. Agree, thats why I'm thinking sticking to the larger timeframes and aiming for higher profit per trade will help cushion the flaws.
  10. Here is a backtest of my system with 1.5 tcks of slippage calculated.

    From jan1 2006 to present.

    Total profit $166,000
    $39,000 commissions

    =$127,770 Net with 1 contract Max drawdown $7,670

    Now, what happens if I want to calculate slippage with 3-5 contracts? How do I test for partial fills ect? Anyone use ninja that could point me in the right direction?

    Will forward test on sim for 6 months to a year before taking it live.
    #10     Mar 15, 2011