Hi,
What is the way to only add 12.5 slippage for every order which is exited through SetExitOnClose order?
I m using limit order so want to add slippage for my only setExitOnClose orders.
Awaiting
Add slippage with setexitonclose orders
- JoshM
- Posts: 2195
- Joined: 20 May 2011
- Location: The Netherlands
- Has thanked: 1542 times
- Been thanked: 1565 times
- Contact:
Re: Add slippage with setexitonclose orders
The slippage entered in the Strategy Properties screen is applied to all orders. As far as I know, you can't specify the slippage per order type.What is the way to only add 12.5 slippage for every order which is exited through SetExitOnClose order?
What you could do is approximate the amount of slippage you incur over the whole time period. For example, if 1 on 10 orders is a SetExitOnClose order, you could enter 1.25 as the slippage per trade.
With backtesting you can better err on the high side, so I would set the slippage higher than you expect, since that would be more realistic in regards to real trading where things break down, internet connections drop, or limit orders don't get executed (also a form of slippage).
?Awaiting
Re: Add slippage with setexitonclose orders
what i do is export all my backtested trades to excel and then filter for trades that are stops;
I then incorporate an ATR and take a % of that.
eg: 1500 stops / 5000total trades = 30%
ATR * 30% * 25% = average slippage per trade.
http://www.automated-trading-system.com ... realistic/
That may help a little as well.
I then incorporate an ATR and take a % of that.
eg: 1500 stops / 5000total trades = 30%
ATR * 30% * 25% = average slippage per trade.
http://www.automated-trading-system.com ... realistic/
That may help a little as well.
Re: Add slippage with setexitonclose orders
Yes, I guss Multicharts does not have any feature yet to deal seperate slippage for market order and limit orders.what i do is export all my backtested trades to excel and then filter for trades that are stops;
I then incorporate an ATR and take a % of that.
eg: 1500 stops / 5000total trades = 30%
ATR * 30% * 25% = average slippage per trade.
http://www.automated-trading-system.com ... realistic/
That may help a little as well.
Thanks