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Subject: More on Forex results

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ikkerg
Posts:4
03-08-2010 4:35 AM Alert 

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
murray
Posts:519
03-08-2010 10:13 AM Alert 
Forex has had some major fixes in the new version. So let me make sure I understand what the issue is. It not using lot size to calculate the slippage ?.
ikkerg
Posts:4
03-08-2010 3:04 PM Alert 
Lot size set to 100,000. I get a difference of 2 cents on the trade result (e.g. $387.63 vs $387.61) depending on slippage set to 2 pips (1st result) or to 0 pips (2nd result). This is true for USD JPY pair. No difference instead on other pairs, like EUR USD or USD CAD, regardless of the slippage used (0, 2, 4, 10 pips).
The system used is IndexSysFx.

I don't know if this answers your question.
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