How does the "slippage paid" section of the performance report calculate its value?
I have a futures strategy set to "$10 Slippage Per Contract". My assumption is that if you took all the contracts traded and multiply it by $10 you would get your "Slippage Paid" .
However, when I look at the "List of Trades" section of the performance report, I notice that the "Order #" column is essentially the sum of all the contracts traded for my strategy (Each order trades 1 contract). I should be able to take the last value in this column and multiply it by $10.
On a ~6.5 yr back test, the strategy had a total of 5506 orders (2753 trades). The "slippage paid" shows $38,820. I would have expected slippage to show $55,060.
I changed the slippage to "$20 Per Trade" and the result I got was "slippage paid" of $63,380. This means that I should have had 63,380/20 = 3,169 trades. The report shows "Trade #" as 2,753.
It seems to me there might be an issue with the calculation, or I am interpreting it wrong. Any clarity would be great. Thanks.
Slippage Calculation Question [SOLVED]
- Andrew MultiCharts
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Re: Slippage Calculation Question [SOLVED]
By default slippage affects only market and stop orders, all limit and stop-limit orders are ignored.Slippage is only applied to market orders.