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I do currently try to integrate slippage amounts into commissions.
However, what I really want to do is a build a model that mimics the
real world as much as possible.
It would be nice in the future if AB had a setoption() that allowed us
to integrate slippage into all exit and entries, whether we use
ApplyStop or regular sell/cover. Such a setoption could also have the
ability to set some 'randomness' in the slippage, allowing it to vary
from trade to trade, within a range the use could set.
--- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <huanyan2000@xxx> wrote:
>
> Hi
>
> Have you considered making slippage a part of the commision and
> adjust it in the backtester commision settings beforehand, thus avoid
> doing complicated calculations with the signal object of custom
> backtester ?
>
> Huanyan
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> >
> > Hello, hoping someone can help out with this code. Aron was kind
> enough
> > to post a version of some code that is meant to inject some slippage
> > when using ApplyStop(). However, I can't seem to get it to work.
> All I
> > want it to do is reduce Long exits by 2 pips (I'm backtesting
> Forex) and
> > increase Short exits by 2 pips, when using ApplyStop.
> >
> > Here is the code. At present, it only ends up blanking out my
> backtest
> > report - no trades taken. Without the code, dozens or hundreds of
> trades
> > taken, depending on which system I test. As far as I can tell, this
> code
> > should work, but doesn't. Any input appreciated:
> >
> >
> > SetCustomBacktestProc( "" );
> > if ( Status( "action" ) == actionPortfolio )
> > {
> > TickSize = 0.0001; // Forex
> > bo = GetBacktesterObject();
> > bo.PreProcess();
> > slipage = TickSize;
> > spread = 2 * TickSize;
> >
> > for ( bar = 0; bar < BarCount; bar++ )
> > {
> > for ( sig = bo.GetFirstSignal(bar); sig; sig =
> > bo.GetNextSignal(bar) )
> > {
> > symbol = sig.symbol;
> > hi = Foreign(symbol, "H");
> > lo = Foreign(symbol, "L");
> >
> > if ( sig.IsExit() )
> > {
> > if ( sig.isLong)
> > {
> > realexitprice = sig.price - slipage;
> > if( realexitprice >= lo[bar] && realexitprice <=
> > hi[bar])
> > {
> > sig.price = realexitprice;
> > bo.ExitTrade(bar,sig.symbol,sig.Price); //
> I'm not
> > sure if it is needed
> > }
> > else
> > sig.price = -1;
> > }
> > else
> > {
> > ealexitprice = sig.price + slipage;
> > if (realexitPrice >= lo[bar]+ spread &&
> realexitprice
> > <= hi[bar]+spread)
> > {
> > sig.price = realexitprice;
> > bo.ExitTrade(bar,sig.symbol,sig.Price); // I'm
> not
> > sure if it is needed
> > }
> > else
> > sig.price = -1;
> > }
> >
> > }
> > }
> >
> > bo.ProcessTradeSignals( bar );
> > }
> > }
> >
>
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