Better ways to estimate slippage?
Posted: Mon Jul 05, 2004 7:25 am
Hi all,
I haven't finished ploughing through all the past threads yet, so excuse me if this question has been answered elsewhere.
When backtesting a system, I usually assume a fixed number or fixed ratio slippage. However, the slippage occured in real trading are fluctuant. Sometimes in a drastically volatile market the slippage can even beyond one's worst expectation.
So, I suppose that adding volatility factor to simulation will bring more emulational effect. That is, increase the amount of slippage in a trending market and decrease it in the trading range. But I worry whether it would bring some side effects in simulation process. Do you think it's a better way or is there other ways to calculate slippage?
Any ideas
I haven't finished ploughing through all the past threads yet, so excuse me if this question has been answered elsewhere.
When backtesting a system, I usually assume a fixed number or fixed ratio slippage. However, the slippage occured in real trading are fluctuant. Sometimes in a drastically volatile market the slippage can even beyond one's worst expectation.
So, I suppose that adding volatility factor to simulation will bring more emulational effect. That is, increase the amount of slippage in a trending market and decrease it in the trading range. But I worry whether it would bring some side effects in simulation process. Do you think it's a better way or is there other ways to calculate slippage?
Any ideas