I am going to do a backtest of an EA and would like to incorporate the slippage assumption in it. What would be a reasonable assumption of the slippage?
Thanks.
I am going to do a backtest of an EA and would like to incorporate the slippage assumption in it. What would be a reasonable assumption of the slippage?
Thanks.
Ignored
Which Broker? Also, what times/which sessions are the trades placed? and what order type? Are orders placed during news?
The broker is FXCM. Trading sessions will be London and New York. Order type will be market order. Not during news. Thanks!
Ignored
Since it is market order, mean slippage per trade will be very little, as over time positive slippage will balance out with negative slippage. For me, i get a mean slippage per market order of negative 0.031 pips (over the last 400 market orders). My execution speed is about 800ms, i trade London + NY, and rarely make market orders at news times. I wouldn't worry too much about slippage for your back testing
I am going to do a backtest of an EA and would like to incorporate the slippage assumption in it. What would be a reasonable assumption of the slippage?
Thanks.
Ignored
I would incorporate at least twice the slippage you normally experience. Why? Cause you will have instances when none of your orders get filled, in a fast market.
However your backtest doesn't know when there is a fast market and when not. So to include these events, we need to spread them out to all the other trades you make.
