Include commissions and slippage in strategy review

What this article helps you do

Avoid overstating a strategy result by omitting realistic trading costs.

Before you start

• A Backtest or recorded trade sample.

Follow these steps

1. 1

   Enter the commission model used by the account or broker.

2. 2

   Enter a slippage assumption appropriate to the market, order type, and test method.

3. 3

   Keep the assumptions saved with the Backtest run.

4. 4

   Compare gross and net results.

5. 5

   Review how costs affect smaller-target or higher-frequency variants.

6. 6

   Compare assumptions with actual recorded fees and execution when enough data exists.

What you should see

Common mistakes

• Using zero costs by default.
• Applying one slippage value to every market condition without review.
• Changing assumptions after seeing the result without versioning the run.