Is there a way to add some type of slippage to the backtester and strategy tester?
I am testing some volatile models and I want to make the assumption that every buy/sell is 2-3% worse than what the original backtest/strategy test shows.
Many thanks
Hi John,
This is an interesting one since slippage can work in both directions. There are many times when I have taken a trade and got a better fill than I was expecting.
Having a 2-3% penalty on each entry and exit is something that I believe is not a fair representation of the results you would have gotten over time.
Also, since the testers are using either the closing price or the opening price of the days, they are not going to be the perfect price that you would get in real life. So there is an element of slippage baked in by that. Some days (trades) are positive and some negative.
All the best
Mathew