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HI..good point..Sometimes you design a system and end up with
wonderful profits in the simulation, but once you start actual trading
you realize that slippage renders the system useless. This is often
the case if your system makes a lot of trades (intraday)..Its hard to
estimate for slippage..placing limit orders will allow you to control
your slippage, but will mean you can no longer rely on simulation
results, because you will miss out on some (potentially lucrative)
trades due to limit orders
--- In amibroker@xxxxxxxxxxxxxxx, "dkourganov" <kourganov@xxxx> wrote:
>
> Hi,
> I've got the question which is important for every and each trading
> system - slippage. Did anyone explore the magnitude of current
> slippages nowadays? How does it depend on trading volume, price etc.
> Probably, anybody has just the rule of thumb (or empiric rules) - which
> level of slippage should be applied to the trading system. Please,
> share your thoughts. I especially interested in considering opening
> slippage on daily-basis trading systems - I suspect trades on opening
> are the subjects to the greatest slippage, but how to count it and how
> to go to "numbers"?
>
> With kind regards, Dmitri
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