|
PureBytes Links
Trading Reference Links
|
I have a question for veteran S&P traders. I have recently seen many
comments about slippage. I am backtesting several S&P systems and need a
number to program slippage. I would like that number to be a % of the price
to enable a conservative "average" of what the veterans would expect over the
next few years. The % would also enable the code to adjust for the price
changes of the future instead of using a specific number. I realize this
would be a guess because of the dynamics of the market. However, it is
necessary for as "close as possible" backtesting results. Please indicate if
your % is for both entry and exit or just the entry or exit.
In addition to the slippage I would be interested in what the average round
trip commission is for those of you using discount brokers.
Thanks in advance for the help.
Russ
|