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I guess what I am really asking about here is how much "slippage"
exists for a typical Forex trade. Is it 1 pip, 2 pips, 5 pips? Can it
be more?
If I issue a sell at 1.5310, will the actual sell be plus or minus
that amount, or are there cases where it will be bang on?
Historical data is not broken down into bid/ask prices, only final
close prices are given, so it's difficult to figure out typical
slippage for a backtest model.
Any one have any input? Or am I asking the wrong/irrelevant question?
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Hello AmiFriends. Hoping some people with Forex trading experience (esp.
> auto trading) can chime in here. I have yet to trade, but have been
> trying out different Forex systems in the backtester, then
> forward-testing those systems on out-of-sample data.
> But here's the rub - in the backtester, it makes a HUMONGUS difference
> if the sellprice/coverprice is set to either Close or High or Low.
> Profitable systems can turn into huge losers just by changing what the
> exit price is on the same bar. I know we can set SellPrice and
> CoverPrice from within the AFL and even set minimum profits levels and
> what not with coding. But what about the actual Fill Price? Is there any
> way to set minimum Fill Prices from the AFL (and eventually feeding that
> into the broker's interface in an automated fashion)? For example let's
> say I buy EURUSD at 1.5305 and my AFL has a profit target at 1.5310 (5
> pips). When a sell signal is triggered by my AFL and I send in a sell
> order, the price of the next bar might be fluctuating anywhere from
> 1.5300 to 1.5320 (or wider). I want to ensure that the actual fill price
> is at minimum 1.5310. In real life trading, is there any way to specify
> that? Or will the broker just fill in the price, at market, at the
> instant they receive my sell order? And finally, given the realities of
> trading, what, if any, is a realistic backtester SellPrice and
> CoverPrice? To be conservative should SellPrice always be set to Low and
> CoverPrice always be set to High? Or is Close a good compromise for both
> that mimics an "average fill price" that one is likely to see in the
> market? In other words, how can we simulate the most realistic fill
> prices?
> Please excuse my newbie ignorance if my questions are a bit off base!
> [:)]
>
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