I am attempting to backtest a strategy on a portfolio of futures contracts, however each contract needs to have different slippage amounts, ie I typically see more slippage on Heating Oil than S&P e-minis in live trading and I'd like to reflect this in the backtest. I know of the slippage/commissions setting for the overall strategy, but is there a way to programatically set the commissions or slippage so I can more accurately model the trading costs of the different contracts? I'm using the .Net version of MC.
Thanks,
-Rob
Programatically set slippage or commissions
- Alex MultiCharts
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Re: Programatically set slippage or commissions
Hello robbob.
It cannot be done programatically. But you can place each symbol to a separate strategy and specify the necessary settings for each strategy.
It cannot be done programatically. But you can place each symbol to a separate strategy and specify the necessary settings for each strategy.
Re: Programatically set slippage or commissions
Hi Alex,
this *may* work. I also have a portfolio level stop loss, so if the account equity drops by say 5% in a day then there is a signal that exits all positions in the portfolio.
Will this still work if I put each symbol in its own strategy?
Thanks,
-Rob
this *may* work. I also have a portfolio level stop loss, so if the account equity drops by say 5% in a day then there is a signal that exits all positions in the portfolio.
Will this still work if I put each symbol in its own strategy?
Thanks,
-Rob
- Alex MultiCharts
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Re: Programatically set slippage or commissions
Yes, it will. The signal should be added into all the strategies and you need to monitor Portfolio_Equity in it. In MultiCharts 9.0 it will be much easier to execute what you have specified.
- JoshM
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Re: Programatically set slippage or commissions
I am attempting to backtest a strategy on a portfolio of futures contracts, however each contract needs to have different slippage amounts, ie I typically see more slippage on Heating Oil than S&P e-minis in live trading and I'd like to reflect this in the backtest. I know of the slippage/commissions setting for the overall strategy, but is there a way to programatically set the commissions or slippage so I can more accurately model the trading costs of the different contracts? I'm using the .Net version of MC.
This is a good idea. Let's not lose track of it; here is the accompanying feature request:It cannot be done programatically. But you can place each symbol to a separate strategy and specify the necessary settings for each strategy.
MC-1657 - Set commission/commission rules and slippage programmatically.