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Good reason to trade the e-mini contracts. I find slippage to be virtually
non-existant there.
-----Original Message-----
From: TFutures@xxxxxxx [mailto:TFutures@xxxxxxx]
Sent: Tuesday, March 19, 2002 1:56 PM
To: omega-list@xxxxxxxxxx
Subject: S&P Slippage
There is a fascinating article in this month's issue of Stocks & Commodities
written by Jesse Wolff. He is the director of research for Northfield
Trading
(a CTA with 155 million under management)
He talks about the hidden costs of slippage. Most telling to me is his graph
showing average slippage in the S&P's of over $200 per trade on stop
orders!!
This blows out most all day trading S&P systems. The sad thing is that most
of them show results with NO slippage and commissions being taken out (at
least a few popular ones anyway) If $250 was added as slippage to many of
these system they would lose a fortune in historical back testing. This is
in
sharp contrast to their nice smooth rising equity curves shown.
I've long believed that slippage made day trading the S&P's very difficult
to
say the least and almost impossible over the long run. I challenge S&P day
traders to use $250 as their slippage amount and see if their systems are
still worth trading.
Some of the "systems" execution firms I have spoken to make the same claim
that "slippage almost always kills S&P day trading systems."
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