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Open Feature request MC-1383

Backtest commission/slippage wrong behaviour

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if I backtest a strategy without commission and slippage ( commission = 0 and slippage = 0 ) no problem at all. But, if I backtest a stradegy with commission and/or slippage different from 0 the problem occurs. Problem description: I have a strategy that has a 120 poits stop loss. This stop loss is equal to 600 usd stop loss. If no commission/slippage are set, the trade reports behave normally and the strategy issues the stop loss correctly at 120 points. If commission/slippages are set different from 0, Multichart5s alters my strategy !!! no more the stop is 120 poits (600 usd) but is( 600-commissions-slippages) as shoued in the trades list. This translates in the fact that the strategy stop loss is no more 120 points but is less than this, so the trade are not the same trades as the backtest with 0 commissions/slippages. The stop loss is set to have : ( lower strategy stop + commissions + strategy = 120 points = 600 usd) . So the stop loss of my strategy is no more 120 points but is lower, resulting in different trades from the backtest without commissions. This is very nasty.
The strategy itself and the trades themselves should BE INDEPENDENNT from the slippage and commissions; or, better, commissions and slippages should ADD to the performance of the trades themselves, NOT BEING INCLUDED in the stop order (stop loss), otherwise this affects the strategy at all, and changes it to another strategy (other stop loss), which I don't want to.
Tradestation makes the right calculations, Multichart no.
It's a real pity it is not possible at the moment to switch this off and have a tradestation-like behavior. It is important not because there is in tradestation, but because is more logic ( from my point of view obviously).
In my mind this is a critical / very important issue to fix in the backtesting enviroments. If you don't want to change the behaviour, you should add a checkbox that allows to choose the 2 different behaviours: commission and slippages included in stop loss or excluded from stop loss ( obviously in my mind the 2nd is correct, and is the only option in tradestation.
Thanks for your attention, and please email me if you decide to fix this important ( in my opinion) problem.
Marco Di Bartolo

Steps to reproduce this issue

backtest a strategy with a stop loss  
a) setting commissions and slippages to 0
b) setting commission and slippages different from 0
compare the trades list in the 2 options: You'll find out that in the a)  the stop you set in the strategy  is lowered by the commission and slippage amount, resulting in substantially different trades and strategy from the one you set.

Comments (3)
user-offline.png  MultiCharts Support (MultiCharts)
Jun 28, 2013 - 12:37

Adding commission and slippage affects the strategy calculation in general and execution in backtesting, this is expected behavior. The issue is trasnformed into feature request. Please describe how exactly you would like the commissions and slippage work (with examples if possible).

user-offline.png  GB (Id2)
Jul 01, 2013 - 09:55

I'd like there will be in Multichart a button or checkbox that allows a different slippage and commission behaviour during backtesting. I would like that commission and slippages DO NOT AFFECT the strategy itself .  I.E. : suppose I have a strategy that includes a stop loss of 100 pts which in that case is equivalent to 1000 usd. I would like that if the commission and slippages are different from 0, the strategy itself , every single trade, every entry and exit levels, ( also related to stop losses) are exactly the same as if commission and slippages are set = 0.  The commission and slippages should only ADD to the performance of each trade. I don't want that if I set commission and slippages different from 0, the backtest is different from the 0 commission and slippages backtest. In particular I do not want that my stop loss is lowerwed if commission and slippages grows.   Thanks for improving.

user-offline.png  Fu510n (Fu510n)
Sep 18, 2015 - 00:52

Ideally for me, what I've often found is that market order fills end up a single tick beyond the open of a signal bar (where MC typically declares that the fill occurred). I generate OCO orders based on where the fill actually happened, and in 10%-20% of the cases what ends up being stopped out with a "live" trade doesn't get stopped during the backtest. So simply being able to declare "fills occur at # ticks above/below the next bar's open" would make things a tad more realistic (even more complicated would be something time-based, but I won't go there :)).

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