Streak does not account for slippage


#1

How can results shows in streak be accurate at all if it does not account for slippage on average you would have to pay 5 to 10 basis points extra for your order to get filled.


#2

Hi Yua,

Streak currently accounts for a flat minimum slippage during the backtest.
During a backtest, any hypothetical signal to buy or sell is executed on the open price of the next candle (not the on the candle which generated the signal, i.e minimum slippage) irrespective of the actual volumes traded for that candle in the historical data.
Refer https://help.streak.zerodha.com/backtest/#backtest-assumptions

We will going forward allow dynamic and customisation slippage options.

Thanks


#3

Thats not slippage. It means you have only 1-minute level data. I have read a lot about slippage and this is the craziest logic i have seen. Slippage is set using a cross sectional time analysis of volume. Its a complicated thing.