What to use for spread

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  • 05/25/2020 at 9:22 PM #133241 quote
    OscJoh
    Participant
    Average

    Hi,

    Sorry for such a simple question. I tried to search the forums but I was still not getting it.

    I haven’t been using PRT for a while and I’ve forgotten how spread is treated in backtests. Do I put IG’s spread as is or multiply it by two (for enter and exit).

    Example: If my DAX system (active only between 9-17) has a spread of 1, do I leave it as 1 or set it to 2?

    Thanks

    05/25/2020 at 9:35 PM #133243 quote
    robertogozzi
    Moderator
    Master

    I usually set it to 2, since after 17:30 it increases and I often trade till 20:00.

    The average is less than 2, but I prefer keeping it a little bit higher.

    05/26/2020 at 8:00 PM #133361 quote
    OscJoh
    Participant
    Average

    Okay, so that means you put together the spread for both entry and exit into the same number?

    05/26/2020 at 8:06 PM #133365 quote
    Vonasi
    Moderator
    Master

    Price is price and spread is spread! If the market price is 100 and spread is 2 then as a buyer you pay more so the price to you is 101. If you want to sell then you get less than the market price so you sell at 99. The spread is the difference between the price you can buy at and the price you can sell at. So using a spread of 2 in PRT will result in those prices.

    05/27/2020 at 12:07 PM #133426 quote
    OscJoh
    Participant
    Average

    Thanks for clarifying and sorry if I’m being unclear (I understand what spread is).

    The question is more on how a PRT backtest treats the spread value. If it’s applied twice or not.

    From what I can see in your reply Vonasi you should put it in as is stated on IG’s website? Please see attached images. Spread for DAX appears to be 1.2 now between the times I would let the system trade. I should therefore put 1.2 in the backtest, yes?

    spread_prt.png spread_prt.png spread_germany.png spread_germany.png
    05/27/2020 at 12:43 PM #133434 quote
    Vonasi
    Moderator
    Master

    Yes. Spread is as I said the difference between the price you can buy at and the price you can sell at.

    OscJoh thanked this post
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What to use for spread


ProOrder: Automated Strategies & Backtesting

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OscJoh @oscjoh Participant
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This topic contains 5 replies,
has 3 voices, and was last updated by Vonasi
5 years, 9 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 05/25/2020
Status: Active
Attachments: 2 files
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