129.302 Monte Carlo retests may be wrong for MultiCharts

In the builder, slippage for MultiCharts is measured in $. However, in the Monte Carlo Retest Methods, the slippage just says it will be evaluated at a value between 1 and 5. 



This would make no sense because if this is measured in $, $1- $5 slippage is essentially nothing on an instrument like ES that has a tick value of $12.50. So 2 ticks of slippage on ES could be $25 lost to slippage. So if this is not measured in $ and is instead measured in ticks, why not allow users to specify ticks instead of dollars for slippage value? 


Because it was mentioned that MultiCharts requires the slippage value to be in $, I assuming the builder implements this the correct way and the Monte Carlo Retest method has a bug in it. This is actually very crucial because I need to make sure slippage tests pass for futures and not using up to $5 for the test on every future.

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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

KL
#1

kainc301

14.08.2020 11:23

Task created

KL
#2

kainc301

14.08.2020 21:51

Attachment Screen Shot 2020-08-14 at 34949 PM.png added

Screen Shot 2020-08-14 at 34949 PM.png
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Also, in the Instruments and Sessions tab in Data Manager, the default slippage value does not specify whether it is in $ either. Please clarify this.



KL
#3

kainc301

14.08.2020 21:53
I would hope that the spread value is in ticks because it does not say anything about $ anywhere but the confusion makes it hard to tell
KL
#4

kainc301

17.08.2020 21:31
Since this is refused, can you let me know what the slippage value in the Monte Carlo Retests is measured in for MultiCharts? If its measuring $0-5 and not 0-5 ticks, this would be an issue for my testing.
MF
#5

Mark Fric

18.08.2020 09:50
yes, slippage in Tradestation/Multicharts is measured in $
KL
#6

kainc301

18.08.2020 14:49
@Mark so the slippage test only tests from $0 - $5 in slippage which in most futures markets is less than 1 tick. Wouldn't that make the slippage monte carlo tests pass most of the time since we aren't simulating a few ticks of slippage?
MF
#7

Mark Fric

19.08.2020 10:22
I don't understand, you can set slippage range from 0 to 100 if you want, you are not limited to 0-5
KL
#8

kainc301

19.08.2020 15:19
This is a user error. Did not notice the settings for each test could be edited. You can keep this refused

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