When backtesting Nikkei225 futures with market orders, how many points to account for eventual slippage and trading costs?
When backtesting Nikkei225 futures with market orders, how many points to account for eventual slippage and trading costs?
Loading saved threads...
user66893 · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: user66893
Original post: https://quant.stackexchange.com/questions/59440
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
I want to backtest a strategy based on Nikkei 225 futures (preferable at the Singapore exchange).
I am using market orders for entry and exit.
Although I now that theoretically market orders for a very liquid instrument should not have any slippage, I have heard that sometimes one does not get executed immediately or other strange things happen.
What is a reasonable amount of points or amount of money to account for slippage and costs for exchange and broker?
Quote
Report
user42108 · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: user42108
Original post: https://quant.stackexchange.com/a/59441
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
What is a reasonable amount of points or amount of money to account for slippage and costs for exchange and broker?
Slippage will depend on many things - volatility and size are probably the most important. Your question is non-trivial and trying to get a realistic answer would be a lot of work. As a first pass, I might try a toy model that assumes, for e.g., that the spread is 5 points if VNKY is <20, 15 points for 20-30 and 25 points for >30 (make up your own numbers).
Quote
Report
Post Reply
Quoted from Forex.com.bd-Editorial External answer — Quantitative Finance Stack Exchange Author: user42108 Source score (net votes, not local likes): 1 Original post: https://quant.stackexchange.com/a/59441 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. What is a reasonable amount of points or amount of money to account for slippage and costs for exchange and broker? Slippage will depend on many things - volatility and size are probably the most important. Your question is non-trivial and trying to get a realistic answer would be a lot of work. As a first pass, I might try a toy model that assumes, for e.g., that the spread is 5 points if VNKY is <20, 15 points for 20-30 and 25 points for >30 (make up your own numbers).
Checking account access…