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portland, OR
Posts: 50 since Nov 2009
Thanks Given: 5
Thanks Received: 23
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sorry, left those details out
Commission is included, $2.5 per contract per side.
No slippage, but the orders are all stop entries and limit exits on profit and stops on losses.
From what I've seen the past year of trading it, the 1 or 2 tick slips that happen from time to time don't affect 99% of the trades since the exits are adjusted accordingly (Im using a bracket order exit).
on 1% of the trades where the exit is reached in the backtested data but not in real life trading due to slip, my strategy is programmed to exit on the next bar. So basically it knows if it should have exited at a certain price and didn't due to slippage. These trades are still profitable on a target exit, but dont hit the full profit they should have hit.
Long story short, slippage minimal and barely affects the results (ie, once in a blue moon situation). I haven't pushed this beyond 3 contracts yet, so it will be interesting seeing what happens when I trade enough contracts to affect slippage significantly.
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