I'm sure I am doing something stupid, but any help is appreciated. I ran a backtest and found that there were 56 trades in a particular test. Now granted, I set commissions to be 0 and set SLIPPAGE = 1, I get some strange figure of $1057 for slippage. First I wonder how it assumes the value per tick and how can this be changed? How would the $1057 even be calculated out of 56 trades? I had a similar result with setting SLIPPAGE to 0 and setting commissions to $25, this should have equalled $1,400 in costs, but the figure was $1825. Can anyone explain this to me? Thanks you for your effort. D
The value per tick is set in the data-pages for each market. A lot depends on how you test. E.g. if you have 56 trades (i.e. initiation/liquidation signals) you may still need to factor in the extra costs due to rollovers (TR does it for you if you use HST files) You can also try asking your questions in the TR-list.
Thanks for the response, that definitely helped. I bought this from someone on this site and I know little of where to go for help. What is the list you are referring to? I was hoping you or anyone else could answer one more question: I know TR has commands for days of the week, but what happens if you have code to enter on a Monday but there is no trading due to a holiday? Same I suppose would apply to other days of the week. Any ideas on the logic or code structure to avoid this probelm or to stop out a day earlier/later or enter a day earlier/later? Thanks again, I appreciate the help.