For years I have been running backtests using both slippage and commissions assumptions. I redo backtests regularly to estimate how non-traded strategies have been performing. Given that I use limit orders that are updated regularly, I have found that backtest performance is not correct without including slippage as a proxy for a resubmitted limit order at a worse price (assuming the original one wasn't filled).
I somehow completely missed the change to MC 8.5 whereby slippage in backtesting is no longer applied to limit orders (viewtopic.php?f=1&t=12479). This obviously means that my backtests have been overstating performance since that change. Real bummer.
Can someone please let me know:
- when MC 8.5 was released?
- If I can get the last version pre 8.5 somehow?
thanks
Pre MC 8.5 available? When introduced? [SOLVED]
- JoshM
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Re: Pre MC 8.5 available? When introduced?
MC 8.5 Beta 1 was released on November 16, 2012. The release version of MC 8.5 was released on February 21, 2013.(...)
- when MC 8.5 was released?
(...)
- Henry MultiСharts
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Re: Pre MC 8.5 available? When introduced?
Hello thutch,
Since MultiCharts 8.8 that is possible to turn on the slippage support for all order types.
Please see the respective PM entry for further information.
Since MultiCharts 8.8 that is possible to turn on the slippage support for all order types.
Please see the respective PM entry for further information.
Re: Pre MC 8.5 available? When introduced?
Hi Henry,Hello thutch,
Since MultiCharts 8.8 that is possible to turn on the slippage support for all order types.
Please see the respective PM entry for further information.
That is good news, and I am using MC 8.8 release. I read the link, but slippage is still not being calculated in my backtests when I switch to "async mode" (under the Strategy Properties -> Auto Trading tab). I assume that as this feature is under Auto Trading rather than the Backtesting tab it doesn't affect backtest results?
As mentioned I use limit orders placed for the duration of the bar (they do not convert to market orders, but get resubmitted in the next bar if not filled).
Can you explain how I can turn on slippage for backtesting?
thanks
- Henry MultiСharts
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Re: Pre MC 8.5 available? When introduced? [SOLVED]
thutch, have you changed the registry value like it is described?
In the registry editor please go to HKEY_CURRENT_USER\Software\TS Support\MultiCharts\StrategyProp
Change the value of "UseSlippageForAllTypes" key to 1.
1 = slippage for all orders
0 = slippage for market and stop orders only
In the registry editor please go to HKEY_CURRENT_USER\Software\TS Support\MultiCharts\StrategyProp
Change the value of "UseSlippageForAllTypes" key to 1.
1 = slippage for all orders
0 = slippage for market and stop orders only