Traders' Roundtable

I think Jake is spot on here - rollover slippage is a different animal to entry/exit slippage. You can make the case that for reasonable markets the rollover slippage (relative to the back-adjusted contract used in testing) is less than the bid-offer in the spot contract added to the bid-offer in th...

Given the vagaries of computers generally and the fact that simulations are acutely sensitive to a number of variables (even the order of data files in the .SET file), does it make sense to post some standard results based on the VT default models and portfolios? Perhaps c.f. or Dan could do this if...