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.
Cómo Noon Barbari usa Slippage
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Slippage models in backtests →Términos relacionados
- Tipos de orden
Market order
An order to fill immediately at the best available price. Pays the spread.
- Tipos de orden
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.