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I want to backtest a strategy based on Nikkei 225 futures (preferable at the Singapore exchange).

I am using market orders for entry and exit.

Although I now that theoretically market orders for a very liquid instrument should not have any slippage, I have heard that sometimes one does not get executed immediately or other strange things happen.

What is a reasonable amount of points or amount of money to account for slippage and costs for exchange and broker?

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What is a reasonable amount of points or amount of money to account for slippage and costs for exchange and broker?

Slippage will depend on many things - volatility and size are probably the most important. Your question is non-trivial and trying to get a realistic answer would be a lot of work. As a first pass, I might try a toy model that assumes, for e.g., that the spread is 5 points if VNKY is <20, 15 points for 20-30 and 25 points for >30 (make up your own numbers).

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