Hi, I wonder if anyone can help me on this one.   I’ve got a trading strategy that I am running in automated mode.  Whilst it behaves pretty much the same as the backtest, I’m getting a slippage of about 5 points per trade from the results I get on the backtest to the real results on my trading platform.  I’ve been running it a while, so I can compare what the backtest thinks should have happened to what actually happened.  It’s a pretty simple system.  Here’s the code.

Indicator1 = CALL "Basic system 1 + Bollinger"(close)
// Conditions to enter long positions
IF Indicator1 = 1 THEN
 BUY 1 CONTRACTS AT MARKET
 SET STOP pLOSS 27
 SET TARGET pPROFIT 30
ENDIF
// Conditions to enter short positions
IF Indicator1 = -1 THEN
 SELLSHORT 1 CONTRACTS AT MARKET
 SET STOP pLOSS 27
 SET TARGET pPROFIT 30
ENDIF

The indicator is against the five minute graph and simply goes to one or minus one when it detects the condition.   I am using a spreadbetting account and, looking at the way the orders are treated in backtest and real life, I think it’s something to do with different ways of treating accumulated positions.  Does a spreadbetting account close orders in different sequence or something?

Any input from anyone who has encountered a similar problem will be very welcome.

Thanks in advance.