Slippage is the gap between the expected fill price of an order and the actual fill price. For market orders it is mostly spread + queue depth; for stop orders it is also gap risk. In backtests, ignoring slippage is one of the most common ways profitable-looking strategies disappoint live.
A first-pass model: budget slippage as a small percent of price (1–3 bps on liquid futures, more on illiquid alts), or as a fixed number of ticks per side. For honest backtesting, apply slippage on both entry and exit so the cost compounds with trade frequency.
High-frequency strategies are slippage-dominated: a strategy that earns 2 bps per trade and pays 1 bp slippage round-trip is fine; one that pays 3 bps round-trip is dead. Backtests of fast strategies without a realistic cost model are essentially fiction.
Wie Noon Barbari Slippage nutzt
Jedes Konzept hier ist in der Plattform umgesetzt. Öffne die entsprechenden Docs oder das Tool, um es in Aktion zu sehen.
Slippage models in backtests →Verwandte Begriffe
- Orderarten
Market order
An order to fill immediately at the best available price. Pays the spread.
- Orderarten
Stop order
An order that converts to a market order once a trigger price is reached.
- Backtesting
Backtest
Simulating a trading rule on historical data to estimate how it would have performed.
- Backtesting
Look-ahead bias
Using information in a backtest that would not have been available at the time.