Add slippage with setexitonclose orders

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faraz
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Add slippage with setexitonclose orders

Postby faraz » 08 Mar 2012

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.

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JoshM
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Re: Add slippage with setexitonclose orders

Postby JoshM » 08 Mar 2012

What is the way to only add 12.5 slippage for every order which is exited through SetExitOnClose order?
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 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).
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bauhinia
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Re: Add slippage with setexitonclose orders

Postby bauhinia » 03 Apr 2012

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.

faraz
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Re: Add slippage with setexitonclose orders

Postby faraz » 03 Apr 2012

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.
Yes, I guss Multicharts does not have any feature yet to deal seperate slippage for market order and limit orders.

Thanks


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