Strategy Backtesting Slippage on Limit Orders?

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geektrader
Posts: 100
Joined: 17 Jul 2009
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Strategy Backtesting Slippage on Limit Orders?

Postby geektrader » 11 Aug 2009

Hi,

when backtesting a strategy that uses only(!) limit orders for the buy/sell orders, the slippage set in the "Strategy Properties" shouldn´t have any effect since limit orders are only filled at the price they are limited to OR better! Still, when backtesting, the slippage set in the "Strategy Properties" has an effect on the limit orders in the strategy.

That is wrong in my opinion since limit orders are never filled in disadvantage for you.

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Andrew Kirillov
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Postby Andrew Kirillov » 13 Aug 2009

You are definitely right, but we don't want to change it because:
1. It is complicated to implement.
2. We will lose TS-compatibility. They deduct the slippage from all orders and the people will complain that the same strategies give different results.

So I suggest you to use 0 slippage.


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