[FoRK] Re: FoRK Digest, Vol 43, Issue 12

Jeff Bone <jbone at place.org> on Sun May 13 15:43:56 PDT 2007

On May 13, 2007, at 5:02 PM, Sebastian Hassinger wrote:

> I assume that slippage is mainly a problem for testing intraday
> strategies, not systems based on close prices, yes?

No prob, and --- slippage is a factor for strategies where  
transaction costs are a significant part of the top-line, i.e. the  
net profit margins are narrow.  Intra- vs. interday is sort of  
orthogonal to that, but not entirely;  the question is just this:   
how sensitive is your strategy to doing trades at the simulated  
price?  The more sensitive it is, the more slippage potentially  
causes reality and simulation to deviate.  Also, the basic  
transaction costs get lumped in with slippage, so per-trade and other  
types of brokerage can be a big factor.  It's a pretty common error  
to underestimate or completely ignore those in simulating performance.


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