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Deep Analysis of Slippage and Commission on Cobra III E-mini S&P in NinjaTrader 8

Posted by David Bean on

We are in the process of updating our NinjaScript strategies in NinjaTrader 7 to NinjaTrader 8. There are some code breaking changes so it takes time to convert these scripts in C#. You can find a list of the code breaking changes here:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?code_breaking_changes.htm

I like to examine my strategies in different platforms, on different data providers, and in different programming languages. It can give you some incredible insight into your strategies when you dig this deep. 

In the video below, we go deep and discuss limit order fills during back testing and how to measure slippage to see the overall profitability of a strategy. I like using many trading platforms in my analysis. There are performance summaries below in both NinjaTrader 8 and Tradestation 9.5 over the same time period with the first trade on 7/19/2006, so that you can compare the results between platforms. The strategy was originally designed in 2005 and works on different timeframes and stock indexes. The based Cobra pattern works on different non stock index markets as well.

The latest version of Cobra III uses the DontTradeOnHolidays function and you do not have to adjust the time based inputs for your timezone.

CobraIII Monthly Subscription

Email Us at: david@capstonetradingsystems.com

NinjaTrader 8 Cobra III E-mini S&P
No Slippage Or Commission
Limit Orders Filled When Touched

Cobra III E-mini S&P in NinjaTrader 8 - No Slippage or Commission

NinjaTrader 8 Cobra III E-mini S&P
No Slippage Or Commission
Limit Orders Filled When Price Trades Through Limit
Cobra III E-mini S&P NinjaTrader 8
NinjaTrader 8 Cobra III E-mini S&P
1 Tick of Slippage and No Commission
Limit Orders Filled When Price Trades Through Limit
NinjaTrader 8 Cobra III E-mini S&P 1 tick of slippage
Tradestation 9.5 Cobra III E-mini S&P
No Slippage Or Commission
Limit Orders Filled When Touched
Tradestation 9.5 Cobra III E-mini S&P
Tradestation 9.5 Cobra III E-mini S&P
No Slippage Or Commission
Limit Orders Filled When Price Trades Through Limit
Tradestation 9.5 Cobra III E-mini S&P
Tradestation 9.5 Cobra III E-mini S&P
$13.50 slippage and commission round turn
(See video for why we used $13.50)
Limit Orders Filled When Price Trades Through Limit
Tradestation 9.5 Cobra III E-mini S&P

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