How much percentage of slippage we should setup for backtesting NIFTY future?

General
1

Hi anyone knows how much is the percentage of slippage for NIFTY future?

Assuming using Amibroker with Zerodha Pi bridge.

How much is the gap between backtesting and actual filled price for one trade?

How much slippage I should set to have a realistic backtest?

p.s I assume the slippage may change with price, so I asked percentage of slippage, not points of slippage. If fixed points are actually more accurate feel free to answer it by points instead of percentage.

Thanks…!!!

2

I execute a nifty futures strategy via trading view webhooks and use 0.015% as total cost (small size). Last 6-month observation with the same strategy is in the ballpark of 0.0125% for total costs.

Here are some thoughts that I came across on twitter which argues for 0.03% as total cost for backtests.
https://x.com/Ankit_Quant/status/1780569263197061221

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3

Wow I didn’t know you can use TradingView to trade NIFTY. I searched a little bit and it looks like using “Dhan” can do it? Does the Trading View browser has to be kept open? Why did you use TradingView + Dhan instead of Amibroker + Zerodha? I assume if you want to reduce slippage, Amibroker + Zerodha may be a little bit faster (but it has to host in a local computer or AWS cloud). I heard TradingView alarm has delay but maybe webhook doesn’t ? However 0.015% / 0.0125% sounds not bad. Thanks for sharing!

4

I do use Dhan for trading Nifty Futures.

No need to keep TradingView open in browser.

I just wanted something simple to get me going and didn’t want to mess around with more third party software.

TBH, I am not sure about the lag observed with Tradingview Webhook.

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5

@sigma bhai,

You talked slippages in Nifty yesterday and we saw a 200 point move in 2 minutes.

One question, When is RCB winning IPL and Indian cricket team winning the World Cup? :sweat_smile:

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@Meher_Smaran Today’s session was even crazier :slight_smile:

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Yeah…how did you manage? @Chetan_Nahata

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When RG becomes prime minister. :speak_no_evil:

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Haha I was holding Bearish Spreads got out at open :slight_smile: Saved myself from the stress of the session :slight_smile: I wonder how did seasoned guys approached today’s session
@Jason_Castelino @viswaram @t7support

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11

Got roadrolled.

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I refreshed position pages twice before it sank in. Subsequent moves softened the hit, but not enough…