Slippage and Roll Slippage in Futures

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rish
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Joined: Mon Aug 04, 2014 6:53 am

Slippage and Roll Slippage in Futures

Post by rish »

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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Joined: Mon Aug 16, 2004 5:24 pm

Re: Slippage and Roll Slippage in Futures

Post by rdh2f »

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

Good luck
rish
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Joined: Mon Aug 04, 2014 6:53 am

Re: Slippage and Roll Slippage in Futures

Post by rish »

Thats great thank you.
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