Slippage

This topic is empty.

Viewing 7 posts - 1 through 7 (of 7 total)

Author

Posts
July 1, 2023 at 7:25 am #102257

KateMoloney
Participant

Just wondering how people determine what is too much slippage / missed trades VS what is acceptable? Or when do you pull the plug on a system ?

For example, lets assume an account has a starting balance of $100,000

Slippage / missed fills results in real time trading being -$2,700 worse than the backtest. Of that, roughly $3,100 in profits were missed out from trades that did not get filled (low vol, after hours trading etc). Obviously the slippage works both ways and for some trades real time have profited more than the backtest.

Is there a certain measurement to use to determine whether to pull out of the system or keep plugging away?

July 1, 2023 at 8:38 am #115655

BenOsborn
Participant

Hi Kate,

This is something that I have been monitoring but don’t have an answer to myself.

Over the last three months I have the following that fall into this type of category:

– Spike down at open (would never realistically get a fill as maybe 100 shares traded at some level below my limit order) – 3 missed trades, -1.47%

– No fill due to low volume – 4 missed trades, -1.16%

– Slippage – 32 trades, -0.42%.

July 2, 2023 at 3:01 am #115657

Nick Radge
Keymaster

Which market Kate?

July 2, 2023 at 8:17 am #115658

KateMoloney
Participant

TSX

For the ASX I am currently doing better than the backtest results, although slippage has gotten worse in the last 2-3 months … not sure if its a phase of the market.

July 2, 2023 at 9:07 am #115660

Nick Radge
Keymaster

ok. I can’t comment on the TSX as I’ve never actually traded it. Take a look at the individual trades and associated volumes in each symbol.

July 4, 2023 at 7:44 am #115656

StevenPola
Member

Slippage hasn’t been note worthy for me and I don’t trade the TSX, though not getting fills at the bottom of the stretch was a problem. Once I changed the minimum value average traded value (doubled it) the problem hasn’t gone away but it is next to nothing now.

July 9, 2023 at 9:43 am #115667

KateMoloney
Participant

I’ve been reviewing the TSX trades and it appears that there is sufficient volume, other than the 4-5 trades where its been the low of the day with insufficient vol.

Turns out the major reason for slippage was I was backtesting using AUDCAD whereas I measure the trades for tracking in CAD. Once I changed the backtest to CAD the trades lined up much better.

Slippage is now -1% of starting account balance
Author

Posts

Viewing 7 posts - 1 through 7 (of 7 total)

You must be logged in to reply to this topic.

What We Offer

Resources

Members

The Chartist