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As a follow-up to my previous post, I’ve made some
manual calculations (Excel Spreadsheet), and
I’ve found that slippage is treated like a
commission by TS.
If you input a 2 pip slippage, the impact is 2 cents on each trade’s
p/l, which is definitely not realistic. In a session using the INDEXSYSFX strategy
over a 7 year span of USDJPY data (988 trades), the impact was only about 20
dollars!
Recalculating a 2 pip slippage
on price, the actual figure was much different (more than 17K USD), which would
give an average of 18 dollars per trade.
I know that slippage and commission should not be a major concern when
testing strategies (as pointed out by Thomas Stridsman in his book), but it
would be nice to have them correctly accounted for. Will that be fixed in the upcoming version of TS?
Marco