Execution Realism

Strategy declaration properties for slippage, commission, margin, pyramiding, and limit-fill assumptions — how to model realistic backtest execution.

Execution Realism#

The example suite includes dedicated strategies for slippage, commission, margin, pyramiding, and limit-fill assumptions. These properties should be treated as first-class authoring surfaces, not obscure extras added after the trade-frame discussion.

Property reference#

Property	What it changes	Example file
`slippage`	Backtest fill realism.	`pynescript_slippage_strategy.py`
`commission_type`, `commission_value`	Fee modeling.	`pynescript_commission_strategy.py`
`default_qty_type`, `default_qty_value`, `margin_long`, `margin_short`	Percent sizing and margin assumptions.	`pynescript_margin_strategy.py`
`pyramiding`	Add-on entries in the same direction.	`pynescript_pyramiding_strategy.py`
`backtest_fill_limits_assumption`	How strict limit fills should be in backtest.	`pynescript_limit_fill_assumption_strategy.py`

Usage#

Set these properties as kwargs on the strategy(...) declaration:

from source import strategy, input, build_mapped_trade_frame

strategy(
    "Realistic Execution Strategy",
    overlay=True,
    process_orders_on_close=True,
    slippage=2,
    commission_type="percent",
    commission_value=0.1,
    default_qty_type="percent_of_equity",
    default_qty_value=10,
    pyramiding=1,
    backtest_fill_limits_assumption="worse_case",
)

Libraries

Overview