I designed an strategy that operates with 30-second bars on e-mini SP500. It works fine in the back-testing and the out-sample, also performs well in every walk-forward test I have tried. But, when ...
Is there a good quantitative model to estimate how much slippage is required to execute a particular option spread trade? For example, let's say you want to execute an Iron Condor. Given X, Y, Z ...
Is there a quant model that can help estimate how much slippage one would have to give up in order to get an "option spread" (vertical, butterflies, etc.) order executed? What factors should one look ...
I'm backtesting a trading strategy, using free OHLC data from yahoo or google. I'm simulating friction by lopping a flat percentage (say 0.5%) off my returns for each day that I make a trade. Whats ...
On average, how much slippage (measured in lost % return potential) is typical for an operating quant fund that trades in, say, major U.S. equities?