Slippage against Back test results

• 04/28/2017 at 3:06 PM #33888
  njames879

  Hi, I wonder if anyone can help me on this one.   I’ve got a trading strategy that I am running in automated mode.  Whilst it behaves pretty much the same as the backtest, I’m getting a slippage of about 5 points per trade from the results I get on the backtest to the real results on my trading platform.  I’ve been running it a while, so I can compare what the backtest thinks should have happened to what actually happened.  It’s a pretty simple system.  Here’s the code.

   

  Indicator1 = CALL "Basic system 1 + Bollinger"(close) // Conditions to enter long positions IF Indicator1 = 1 THEN BUY 1 CONTRACTS AT MARKET SET STOP pLOSS 27 SET TARGET pPROFIT 30 ENDIF // Conditions to enter short positions IF Indicator1 = -1 THEN SELLSHORT 1 CONTRACTS AT MARKET SET STOP pLOSS 27 SET TARGET pPROFIT 30 ENDIF

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  Indicator1 = CALL "Basic system 1 + Bollinger"(close) // Conditions to enter long positions IF Indicator1 = 1 THEN BUY 1 CONTRACTS AT MARKET SET STOP pLOSS 27 SET TARGET pPROFIT 30 ENDIF // Conditions to enter short positions IF Indicator1 = -1 THEN SELLSHORT 1 CONTRACTS AT MARKET SET STOP pLOSS 27 SET TARGET pPROFIT 30 ENDIF

  The indicator is against the five minute graph and simply goes to one or minus one when it detects the condition.   I am using a spreadbetting account and, looking at the way the orders are treated in backtest and real life, I think it’s something to do with different ways of treating accumulated positions.  Does a spreadbetting account close orders in different sequence or something?

  Any input from anyone who has encountered a similar problem will be very welcome.

  Thanks in advance.

  

  njames879

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  04/28/2017 at 4:56 PM #33894
  Maz

  Hi. Are you sure it’s not just the spread widening  from time to time? What instrument is it ? What’s the spread in the back test and how does that compare to the asset? Does the system execute 24 hours and does your back test take into account the change of spread throughout the day?

  It could of course be regular slippage. But unless you’re doing very frequent folders that should be rare especially with IG but it does depend on the instrument.

  During a back test if you are preparing for Life trading then it would be prudent to widen the spread on the back test so as to stress test a little.

   

  

  Maz

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  04/28/2017 at 5:16 PM #33897
  njames879

  Interesting point.  It could be, but I’m trading 24hrs on AUD/USD, and I don’t think the spread changes that much on IG?

  Thanks for the input

   

   

  

  njames879

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  04/28/2017 at 5:47 PM #33904
  GraHal

  What spread have you got set in the Backtest engine for AUD/USD?

  

  GraHal

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  04/28/2017 at 5:57 PM #33905
  Maz

  Yep, it’s a frustration. I don’t use pro order / prt for production syatems for these very reasons. At the end of the day it’s at the retail end of the spectrum so this is bound to a occur.

   

  If you are serious about running production systems on PRT then I would suggest using very prudent back test spreads to accommodate for these sort of events.

  

  Maz

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  04/28/2017 at 6:31 PM #33906
  njames879

  Ive got a spread of 1 point in the backtest

   

  

  njames879

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