Slippage Calculation Question  [SOLVED]

Questions about MultiCharts and user contributed studies.
Guceri
Posts: 7
Joined: 07 Mar 2014
Has thanked: 2 times

Slippage Calculation Question

Postby Guceri » 06 Oct 2014

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.

User avatar
MAtricks
Posts: 789
Joined: 09 Apr 2012
Has thanked: 286 times
Been thanked: 288 times

Re: Slippage Calculation Question

Postby MAtricks » 06 Oct 2014

Slippage is only applied to market orders.

User avatar
Andrew MultiCharts
Posts: 1587
Joined: 11 Oct 2011
Has thanked: 931 times
Been thanked: 559 times

Re: Slippage Calculation Question  [SOLVED]

Postby Andrew MultiCharts » 07 Oct 2014

Slippage is only applied to market orders.
By default slippage affects only market and stop orders, all limit and stop-limit orders are ignored.

User avatar
MAtricks
Posts: 789
Joined: 09 Apr 2012
Has thanked: 286 times
Been thanked: 288 times

Re: Slippage Calculation Question

Postby MAtricks » 07 Oct 2014

and we thank MC for this feature! :)

Guceri
Posts: 7
Joined: 07 Mar 2014
Has thanked: 2 times

Re: Slippage Calculation Question

Postby Guceri » 07 Oct 2014

Confirmed. That was the issue. Thanks!


Return to “MultiCharts”