Slippage not factored in for exits

Question

In my script, I have both SL and TP calculations. When I change the slippage parameter in the strategy settings, the SL and TP levels are adapted accordingly. So far, so good.

But looking at the list of trades in the backtesting engine, I find that only the entry price has changed due to slippage but not the exit price. Thus, the backtest calculations are way too optimistic, of course.

This is how I calculate SL:

longPercStopPrice = 0.0
shortPercStopPrice = 0.0

if useSL
    longPercStopPrice := strategy.position_avg_price * (1 - LossPerc)
    shortPercStopPrice := strategy.position_avg_price * (1 + LossPerc)
else
    longPercStopPrice := na
    shortPercStopPrice := na

LongSLPrice = useSL ? longPercStopPrice : na
ShortSLPrice = useSL ? shortPercStopPrice : na

final_SL_Long := if use_SL_Percent
    LongSLPrice

This is how I exit the trade using SL:

if longs_opened
    strategy.exit(id='Exit SL', from_entry='Long', comment = CommentExitLong, stop=useSL ? final_SL_Long : na)
if shorts_opened
    strategy.exit(id='Exit SL', from_entry='Short', comment = CommentExitShort, stop=useSL ? final_SL_Short : na)

This is how I calculate TP:

var float TPlongPrice = na
var float TPshortPrice = na

ProfitTrailPerc = input.float(title='TP %', minval=0.0, step=0.5, defval=5,  inline="a", group='Exit Take Profit') * 0.01

TPlongPrice := use_TP_Percent ? strategy.position_avg_price * (1 + ProfitTrailPerc) : strategy.position_avg_price
TPshortPrice := use_TP_Percent ? strategy.position_avg_price * (1 - ProfitTrailPerc) : strategy.position_avg_price

This is how I exit the trade using TP:

var bool is_TP_reached = false

if FinalLongCondition or FinalShortCondition or strategy.position_size == 0
    is_TP_reached := false
if longs_opened and ta.crossover(high, TPlongPrice) and use_TP_Percent and not is_TP_reached
    is_TP_reached := true
    strategy.close(id='Long', comment='L:Exit TP')
if shorts_opened and ta.crossunder(low, TPshortPrice) and use_TP_Percent and not is_TP_reached
    is_TP_reached := true
    strategy.close(id='Short', comment='S:Exit TP')

Your help is much appreciated!

Slippage not factored in for exits

0 Answers0