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My personal trading system only trades stock index futures. For my own
enjoyment I want to back test it. It is a position trading system and ALL
trades are conducted at the market CLOSE ONLY.
I would like to know from you traders that actually do MOC orders on these
contracts what percentage component to use for fill slippage. I am actually
running this system in EXCEL and have provided an input for
commission/slippage.
The contracts that I need slippage info for are:
1. e-mini
2. SP500
3. Dow Jones
4. Nasdaq
5. Value Line
6. mini-Value Line.
Thanks,
Don Becker
dbecker@xxxxxxxxxxxx
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