StockFetcher Forums · General Discussion · Trade Costs And Slippage<< >>Post Follow-up
chrismnu2003
123 posts
msg #46344
Ignore chrismnu2003
8/13/2006 12:44:04 PM

I was wondering what everybody does to account for slippage? When I'm looking at a backtest, I export the trades to Excel and then recalculate the gain/losses to account for trade costs (usually about $20). But, I also started thinking about accounting for slippage by increasing the trade costs to something like $50 or $100. Also, another idea was to subtact a percentage from every trade. Thoughts?


TheRumpledOne
6,358 posts
msg #46350
Ignore TheRumpledOne
8/13/2006 12:52:17 PM

I don't worry about slippage.



chrismnu2003
123 posts
msg #46357
Ignore chrismnu2003
8/13/2006 5:50:46 PM

Why don't you worry about slippage, TRO?


dewman723
1 posts
msg #46359
Ignore dewman723
8/13/2006 10:24:01 PM

limit order


TheRumpledOne
6,358 posts
msg #46363
Ignore TheRumpledOne
8/14/2006 10:18:05 AM

I don't focus on distractions.

When I am in a trade only ONE THING MATTERS - PRICE!




chrismnu2003
123 posts
msg #46366
Ignore chrismnu2003
8/14/2006 12:26:49 PM

Well, I'm talking in reference to backtesting a filter. Taking into account slippage and trade costs...


glider
59 posts
msg #46488
Ignore glider
8/19/2006 8:44:41 PM

chrismnu2003,

I agree with you that slippage is important and should be taken into account. I also export my data to excel. I created a cell for costs. I entered $10. My trade result formula is ((SellPrice - BuyPrice) - Costs)). You can change the amount in the cell to see how an increase/decrease will affect the bottom line.


StockFetcher Forums · General Discussion · Trade Costs And Slippage<< >>Post Follow-up

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