Attention!

tjendra · 03-25-2009, 12:21 AM

I am backtesting my strategy with commission and slippage included. I will be trading very liquid ETFs such as SPY and QQQQ. What kind of value should I be putting for slippage when I do the backtesting? Just 1?

NinjaTrader_Bertrand · 03-25-2009, 03:00 AM

There are unfortunately no 'typical' value we can give you as much of is based on experience, trading hours and trading size. On liquid instruments you'll want to test the impact of paying the spread and your broker fees on all trades prior to going live.

tjendra · 03-25-2009, 03:16 AM

Hi Bertrand, I'm abit new to this, pardon the beginner question. For the ETFs I trade which are very liquid, the spread should be very tight right? Say for example SPY is Bid at 81.21 and Ask is at 81.22. If my orders are always market orders, what would my slippage be and what value should I put in slippage for backtesting?

NinjaTrader_Bertrand · 03-25-2009, 04:07 AM

You are welcome tjendra - slippage can only be estimated, but for example on your SPY's 1 should be sufficient if you're not really into big sizes.

03-25-2009, 12:21 AM	#1
tjendra Senior Member Join Date: Mar 2009 Posts: 220 Thanks: 0 Thanked 0 times in 0 posts	Amount of slippage to use? I am backtesting my strategy with commission and slippage included. I will be trading very liquid ETFs such as SPY and QQQQ. What kind of value should I be putting for slippage when I do the backtesting? Just 1?
	Facebook Twitter YouTube

03-25-2009, 03:00 AM	#2
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,398 Thanks: 252 Thanked 969 times in 952 posts	There are unfortunately no 'typical' value we can give you as much of is based on experience, trading hours and trading size. On liquid instruments you'll want to test the impact of paying the spread and your broker fees on all trades prior to going live. Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
	Facebook Twitter YouTube

03-25-2009, 03:16 AM	#3
tjendra Senior Member Join Date: Mar 2009 Posts: 220 Thanks: 0 Thanked 0 times in 0 posts	Hi Bertrand, I'm abit new to this, pardon the beginner question. For the ETFs I trade which are very liquid, the spread should be very tight right? Say for example SPY is Bid at 81.21 and Ask is at 81.22. If my orders are always market orders, what would my slippage be and what value should I put in slippage for backtesting?
	Facebook Twitter YouTube

03-25-2009, 04:07 AM	#4
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,398 Thanks: 252 Thanked 969 times in 952 posts	You are welcome tjendra - slippage can only be estimated, but for example on your SPY's 1 should be sufficient if you're not really into big sizes. Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
	Facebook Twitter YouTube

Thread Tools
Show Printable Version Email this Page
Display Modes
Linear Mode Switch to Hybrid Mode Switch to Threaded Mode

Similar Threads
Thread	Thread Starter	Forum	Replies	Last Post
Do something within a certain amount of bars	dwalls	General Programming	2	01-21-2009 10:11 AM
Account Performance need Profit (Amount)	moscu	Miscellaneous Support	1	10-30-2008 10:10 AM
$ amount measurement / trendline	ssg10	Charting	1	10-08-2008 01:41 PM
Slippage problem	inaamalvi	General Programming	1	06-04-2008 11:45 AM
Amount of Back Data	murfinp	General Programming	2	02-01-2007 06:19 AM