Contract Rollover Slippage

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Salamander
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Contract Rollover Slippage

Post by Salamander »

Guys: Roughly, what kind of % slippage do you think is conservative to use in backtesting for a portfolio trading pretty large contract lots? Thanks.
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sluggo
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Post by sluggo »

Maybe one way to get a different viewpoint on this, is to first estimate your slippage in dollars-per-contract, then convert back to ATR%. Or perhaps figure out what you want your slippage to be in dollars-per-contract, then with your current settings see what it actually is, and adjust the slippage settings up and down to raise or lower the number.

Maybe some of the experimentation in list item #2 of this post, might suggest a few approaches. viewtopic.php?p=16092&highlight=slippage#16092
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