[FoRK] Forex opportunities and kwatloos?
<jbone at place.org> on
Sun May 13 10:39:37 PDT 2007
On May 13, 2007, at 11:49 AM, Sebastian Hassinger wrote:
>> Reality behind the back-testing mirage: slippage kills.
> Pardon my ignorance, but you perked up my ears - what do you mean by
> slippage in this context?
This is pretty standard trader jargon. Wikipedia has a reasonable
The bottom line is that execution quality --- whether or not desired
trades can actually be performed in reality, and (if using market
orders) at what price --- is notoriously hard to simulate. This
leads to significant differences between simulated and actual trading
behavior that essentially completely erode a trading model's expected
profitability for many traders. Cf. any of the standard trading
texts and resources for more info. (Also note that "algorithmic
trading" as mentioned in the "slippage" Wikipedia entry probably
doesn't mean what you intuitively think it means; generally, it
means cost-averaging into and out of positions in various ways,
perhaps with systematic execution, perhaps not. The WP entry on
"algorithmic trading" is a bit broad, as this term is used ---
loosely and often incorrectly --- in various ways within the
industry. The correct interpretation has to be contextual.)
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