I am backtesting S&P 500 instruments on daily data for a couple of systems but have never traded stocks live. I have no idea what to expect or what values to set for slippage. Entries and exits are both immediately at open. I know that slippage will vary based on bid/ask spread and liquidity and I will find slippage for GS much much higher than for C.
Can anyone give me a general idea what to expect and what value would be appropriate when backtesting and including slippage. When backtesting all S&P components at once, I have been using 5 and 10 cents/ ticks but I have no idea whether I am in the right ball park. Position size == $10,000 / Price with no rounding.
Thanks!!
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