Pine Script Slippage & Spread Guard

Adds per-contract commission and tick slippage to the strategy declaration — plus a wide-bar skip — so backtests match live prop firm fills.

Copy//@version=6
// Commission and slippage live in the strategy() declaration.
// slippage is in TICKS; commission here is $ per contract per side.
// Pine requires literal values here — inputs are not allowed.
strategy("Slippage & Spread Guard", overlay=true, calc_on_every_tick=false,
     commission_type=strategy.commission.cash_per_contract, commission_value=0.62,
     slippage=1)

// ── Inputs ──────────────────────────────────────────────
maxRangeTicks = input.int(40, "Max Bar Range (ticks)", minval=1,
     tooltip="Skip entries on bars wider than this — wide bars mean bad fills.")

// ── Wide-range skip ──────────────────────────────────────
barRangeTicks = (high - low) / syminfo.mintick
rangeOK = barRangeTicks <= maxRangeTicks

// ── Entry logic (replace with your own conditions) ───────
longCondition  = ta.crossover(ta.ema(close, 9), ta.ema(close, 21)) and rangeOK
shortCondition = ta.crossunder(ta.ema(close, 9), ta.ema(close, 21)) and rangeOK

if longCondition
    strategy.entry("Long", strategy.long)
    strategy.exit("Long Exit", "Long", profit=20, loss=10)

if shortCondition
    strategy.entry("Short", strategy.short)
    strategy.exit("Short Exit", "Short", profit=20, loss=10)

// Visual
bgcolor(not rangeOK ? color.new(color.purple, 90) : na, title="Wide Bar — Skipped")

Settings

• commission_value — $ per contract per side, set in the declaration. Default 0.62 (typical micro all-in).
• slippage — ticks lost per fill, set in the declaration. Default 1.
• maxRangeTicks — skip entries on bars wider than this. Default 40.

How to use

• Copy the strategy() declaration parameters into your own script — commission and slippage must be literals there, not inputs.
• Set commission_value to your broker’s all-in round-turn cost divided by two.
• Replace the EMA-crossover placeholder with your own entry conditions.
• Re-run your backtest after adding costs; if the edge disappears, it was never there.

Frequently Asked Questions

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