Frank Birch Veteran   Posts: 171 Joined: 3/25/2006 Location: UK  User Profile | I have been asked to look into this deeper to share with all. there are 2 options in the test settings, profit calculation tab for adding the slippage. The first is a fixed dollar amount $0.25. The second is a percent value 0.25%. The problem you will face is say trading a big list, the higher cap stocks to lower cap. Assigning an average percentage value for slippage costs in stock trading can be somewhat complex due to the variability in market conditions, stock liquidity, and trading volume. However, for the sake of estimation and budgeting, traders often use a small percentage of the trade value to account for slippage in their cost calculations. A common approach is to use a range that can adjust based on the expected volatility and liquidity of the stock. For example: For highly liquid stocks in stable market conditions, slippage might be relatively minimal, possibly in the range of 0.01% to 0.05% of the trade value. For less liquid stocks or in more volatile conditions, slippage could be significantly higher, potentially ranging from 0.1% to 0.5% or more of the trade value. It's important to consider that these are rough estimates. The actual slippage experienced can vary widely depending on specific market conditions at the time of the trade, the size of the order, and how aggressively the trade is executed (e.g., immediate execution with market orders vs. using limit orders to cap the maximum acceptable slippage). For budgeting or planning purposes, using a conservative estimate tailored to the specific characteristics of the stock and market conditions can help in setting realistic expectations for the costs associated with slippage. So for this experiment I have set the percent value to 0.25% Now our first performance report with zero slippage, as you can see all well and good. The 2nd is with 0.25 cents added (fixed rate) not so good. The 3rd using a percent value set at 0.25% (conservative). As you can see by all 3 performance reports they differ considerably and ive only touched on this. If you are thinking of building a trading mechanical Strategy please consider adding slippage into the equation to achieve a real time trading environment, cost of doing business I am afraid. Regards Frank Birch [Edited by Frank Birch on 2/26/2024 12:37 PM]  Attached file : Performance report no slippage.png (310KB - 136 downloads) Attached file : Slippage set to 0.25 cents.png (308KB - 127 downloads) Attached file : Slippage set to 0.25 %.png (309KB - 118 downloads) |
