Backtesting (slippage, historical data)  [SOLVED]

Hi,
I noticed that during backtesting slippage value is added twice in case of short order and only once in case of long order.
Is there a specific reason for that?

Also I am not able to use more ~65 days of historical data during backtesting (although I set 1 year). The tested instrument was e-mini Russel 2000 using custom future.

I am still unsure with this multichart .net edition and CQG combination. Lots of things seem to be weird. I hope its just me being a newcomer to MC.

Here is link to my other thread with questions:
http://www.multicharts.com/discussion/v ... 19&t=48309

I noticed that during backtesting slippage value is added twice in case of short order and only once in case of long order.
Is there a specific reason for that?

Stop and market orders in MultiCharts .NET have slippage added to them (see here). Were your long orders stop/market orders or did you use limits?

Hi Josh,

My PT is set to 230$/SL is set to 110$./slippage to 2$.
As you can see in attached screenshort slippage differs depending on whether it was PT or SL. In case of PT only one slippage is applied in case of SL, slippage is reduced twice from the trade . These are just a backtesting results.

I am using the basic methods to generate PT/SL (GenerateProfitTarget, GenerateStopLoss)

Maybe its just me having a gaps in slippage/order type logic. But an explanation would help me sleep better.

Thank you in advance.


EDIT: I can see that the screenshot contains only short orders. But the same result is in case of long orders.

(...) slippage differs depending on whether it was PT or SL. In case of PT only one slippage is applied in case of SL, slippage is reduced twice from the trade .

If you enter with a market order and exit with a limit order (PT) --> one market order, so slippage applied once.

If you enter with a market order and exit with a market order (SL) --> two market orders, so slippage applied twice.

That is at least my understanding of it.

Make sense.

Thank you.
Petr