Wouldn't building in slippage on the sell and cover prices essentially represent slippage on exits? If not, what do you propose as a coding model to represent slippage on exits?
In the few real-world trades I have tested so far, I notice typical slippage of a pip or less. So in that sense, I felt that putting slippage at 2 pips for backtests would compensate for both real-world slippage plus the spreads. But if there is a better way to model slippage + spreads, I would be interested in hearing other ideas. I'm still in the learning phase myself. --- In [email protected], Aron <aron.gro...@...> wrote: > > > > |// In real-world trading there may be slippage of 1-2 pips. > > *BuyPrice* = *Close* + Slippage; > > *ShortPrice* = *Close* - Slippage; > > *SellPrice* = *Close* - Slippage; > > *CoverPrice* = *Close* + Slippage; > > | > > > You'll propably need to take into account slipage on Exits as well. > Not to mention the spread. >
