Modeling Slippage When Backtests Cannot Mix Exit Methods

Summary

This BigQuant support exchange addresses whether one backtest can combine limit-order exits with exits at the closing price. The response says that a person can use both methods in live trading, but representing that behavior in a backtest is complicated and may have little effect on long-term return estimates. It points users toward slippage settings as an alternative way to represent execution prices.

The described options include fixed slippage, percentage slippage, or specifying a price for opening and closing positions. The exchange offers no code, comparison, or empirical results, and it does not explain how the platform models fills or when each slippage setting is appropriate. Its guidance is therefore a brief platform-specific answer, not evidence that different exit methods are interchangeable. Traders should account for the execution assumptions their strategy actually depends on when interpreting a backtest.

Key ideas

• The exchange discusses combining limit-order and closing-price exits in a single backtest.
• It characterizes the mixed exit setup as complicated to simulate.
• The platform supports fixed, percentage, and specified-price slippage settings.
• The answer gives no empirical evidence about the impact of these modeling choices.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.