The default slippage is 5 seconds, meaning the trade is filled at the price 5 seconds after sending the order. This can be adapted to the broker.

Rather than Close[1], we normally use price(0), which is the average of all ticks of the recent bar. This also minimizes the gap between backtest and live.

One rule I’ve started enforcing across all my testing workflows: close[1] only
for every entry and exit signal, no current bar references at all. Brutally
simple but it collapses the gap between backtest and live reliably. A strategy
that needs the current close to decide is essentially cheating on history.

On your 4h FX and index CFD system, what’s your slippage assumption for Asian
session and weekend gaps? I’ve watched otherwise positive-expectancy setups go
flat once realistic gap slippage gets modeled in the evaluation.

All jokes aside, this is good stuff as usual. This series is what actually made it click for me, aside from your book. Thank you, truly.