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> From: aogorman@xxxxxxxxx
> To: omega-list@xxxxxxxxxx
> Subject: Slippage
> Date: Monday, February 23, 1998 11:11 AM
>
> As we are all system tester/traders I'm interested in how different
> individuals deal with slippage in backtesting. What type of slippage do
> people use (fixed, per market, per round trip?), and does it depend on
> the particular trading strategy?
>
> Aongus O'Gorman
> Gandon Financial Fund Mgt.
Try looking at a "fill window" -- look at where your signal was generated,
then take the worst tick within the time period that you could have
reasonably expected to be filled (say 5 minutes from the time your signal
was generated, 10 minute if you're very conservative).
Regards
Dtrader
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