Slippage and Roll Slippage in Futures

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rish
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Slippage and Roll Slippage in Futures

Post by rish » Wed Nov 12, 2014 10:52 am

Hi,

I was wondering if people minded sharing what they felt were realistic figures to have in for slippage(%) and roll slippage(% of ATR) based on futures trading experience? Obviously conservative testing figures would be 100% for both but curious as to what can realistically be achieved.

Thanks in advance

rdh2f
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Re: Slippage and Roll Slippage in Futures

Post by rdh2f » Tue Dec 16, 2014 7:45 am

I believe 5% on both overestimates reality, which in a back-test is what you want.

Good luck

rish
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Re: Slippage and Roll Slippage in Futures

Post by rish » Mon Jan 05, 2015 11:23 am

Thats great thank you.

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