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Backtesting - Slipage and Comission

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    Backtesting - Slipage and Comission

    I just started to try out some strategies, and I would be a millionaire if there wouldn't be costs for slippage and comission.
    My question is, what is a average amount of slippage so it covers slippage and comission to get a result that's at least near to reality?
    In my case it would be for FDAX futures traded over Ninja brokerage





    #2
    Hello guenni7,

    Thanks for your post.

    Slippage is going to be subjective for each user and will vary depending on the quality of the internet connection, and the time it takes an order to leave the platform and get filled at the exchange. There would not be a universal average to use, but you could consider using a high value for simulated slippage to account for variances that you may see with live trading. You can also go back and compare your live trading results to your backtest to decide on a slippage value that is consistent with your trading.

    Commissions templates can be applied to a Sim101 account and the commissions will be used in the backtest if Include Commision is checked when performing the backtest.

    Slippage - https://ninjatrader.com/support/help...lFillAlgorithm

    Commissions - https://ninjatrader.com/support/help...commissi_3.htm

    We look forward to assisting.
    JimNinjaTrader Customer Service

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