The slippage tag has no wiki summary.
9
votes
2answers
602 views
How to simulate slippage
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 ...
5
votes
3answers
732 views
How significant is slippage in a successful quant fund?
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?
