Hi.
I seem to be observing that slippage is being inconsistently applied during backtests. In some cases it seems to be once per-side (twice per position), and in some cases it seems to be once per-position.
Shouldn't slippage always be applied once per-side (twice per position)?
In any case, the application should be the same for every trade, yes?
Am I maybe not seeing what I think I'm seeing?
Slippage Inconsistently Applied in Backtests [SOLVED]
Slippage Inconsistently Applied in Backtests
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Re: Slippage Inconsistently Applied in Backtests
I think there is slippage in market orders but no slippage in limit orders. So what kind of orders are you using?Hi.
I seem to be observing that slippage is being inconsistently applied during backtests. In some cases it seems to be once per-side (twice per position), and in some cases it seems to be once per-position.
Shouldn't slippage always be applied once per-side (twice per position)?
In any case, the application should be the same for every trade, yes?
Am I maybe not seeing what I think I'm seeing?
- Henry MultiСharts
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- Joined: 25 Aug 2011
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Re: Slippage Inconsistently Applied in Backtests [SOLVED]
Hello MC_Prog,
The slippage is not calculated for stop limit and limit orders as there is no slippage when such type of order is filled at broker. Limit order can be filled at the specified price or better price. Slippage is calculated for market and stop orders. It is deducted from profit.
If you still want to have slippage calculated for stop limit and limit orders – you can enable an option in the registry editor:
HKEY_CURRENT_USER\Software\TS Support\ your version of MultiCharts \StrategyProp
Change the value of "UseSlippageForAllTypes" key to 1.
1 = slippage for all orders
0 = slippage for market and stop orders only
You need to restart the application to have the changes applied.
The slippage is not calculated for stop limit and limit orders as there is no slippage when such type of order is filled at broker. Limit order can be filled at the specified price or better price. Slippage is calculated for market and stop orders. It is deducted from profit.
If you still want to have slippage calculated for stop limit and limit orders – you can enable an option in the registry editor:
HKEY_CURRENT_USER\Software\TS Support\ your version of MultiCharts \StrategyProp
Change the value of "UseSlippageForAllTypes" key to 1.
1 = slippage for all orders
0 = slippage for market and stop orders only
You need to restart the application to have the changes applied.