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The holy grail is within you, we can help you find it. We expect our members to participate and become a part of the community. Help yourself by helping others. You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple. Hi there, I'm looking at doing some backtesting on Forex on Tradestation 9. Any incite would be greatly appreciated. I'm assuming I would be adding this spread to the slippage section of the backtest properties.
Have a great one! If you have any questions please send me a Private Message or use the futures. The following 4 users say Thank You to kevinkdog for this post: JimFeyn , LetmeInNow , maggtrading , trickortrade. You are correct with the bold statement I highlighted above.
You would add pips per side for slippage. Just be careful with how TS calculates the total per lot, or total transaction, etc But, there is a bigger problem waiting for you, and I'll take a little time to explain The problem you will have backtesting with Forex is that the datastream you see is only Bid data.
This can cause major problems with strategies, especially with limit orders and stop orders. Your strategy will get filled when in real life you won't, and vice versa. Accounting for spreads won't take care of this, since it is about trades that never happen. I'll give you 1 example.
Let's say your strategy says "buy next bar at 1. Tradestation normally has a pip spread, so let's say it is 1. So, you need the chart price to hit 1.
Your strategy places your order, and a little later the TS chart goes down to 1. The market then takes off like a rocket. A great winning trade. When the chart hit 1. You can't buy at bid. You can buy at ask, which hit a low of 1. So in real life, you never got filled. You missed the trade! But any backtest will think you did get filled. Now, there are a few things you can do with TS fills like convert to a market order , but you won't be able to simulate them in backtest, and if you use a time delay, who knows what the slippage will actually be?
ONLY use market orders, and always have ticks slippage applied to account for the spread. Not a perfect solution, but backtest and real time performance seem to match when I do this. I know this is probably more than you wanted to know, but it is an important point, that most people ignore - until they lose money. By the way, make sure to check around for spread prices.
You might find TS spreads to be on the high end. Thank you for providing more than I asked. Was planning on emailing Tradestation for some answers At first I thought it was the subscription feed that I opted for but that does seem to be the case.
Market orders was the way I was leaning for the strat It seams the entry is really the issue at least for the little time I played on sim trading. I don't see a way of scaling with a 20 pip spread. Some of the late hour movements are only in the 20 pip spread annoying.
Thanks again for the info entropy - dont fight it, its inevitable. The following user says Thank You to kevinkdog for this post: I through I read a pip is considered the smallest single unit increment of the currency pair you are trading. I currently see the 1.
Still a newb in this market Hi all, I trade stocks for quite a time in TS. I want to enter FX trading too. I trade in realtime but with simulated account in 1Min FX charts. How realistic my results are? Is there any other cost beyond the platforms fees etc, cost that is directly related to realtime FX charts extra commissions?
I have set limits etc in my orders. Should I add slippage too in realtime? I am under the impression that slippage is ideal for backtest only. The following 2 users say Thank You to kevinkdog for this post: Dear sir, thank you for your prompt reply. I am interested in realtime simulated trading only, backtest and optimization has been done in another platform since my strategy is CPU demanding and TS cannot handle it in backtest.
It is not legit but it was the best I could do. Coding translation to EasyLanguage is perfect, I got the same results. Yes I am watching it realtime for the past few days. My algorithm does from 15 to trades per day. When I was using market orders in realtime in TS, I was buying and selling sometimes very far from the bar's edges.. Hence I am not willing to use market orders in TS in realtime. Does order filling satisfy you? I guess I should deal with very liquid currencies for start. Thank you for your time.
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