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hi,
my current system uses limit orders. Even then you
encounter slippage. For instance if the price opens below you limit the entry
price may slip all the way to your limit price. Especially with short entries
this is a problem.
I tested entry on the limit for about 6 months now
and the average slippage for these below limit openings is about 0.15%. But this
is for Nasdaq 100 stocks only. I am pretty sure 0.3 or 0.4% is a closer number
if you include somewhat more thinly traded stocks.
Currently I am working on systems to avoid slippage
completely. If your system still works when taking an average price of the day
for the entry price, (H + L) / 2, then in my opinion it should be possible
to avoid slippage just by entering at the bid or ask price at a certain time. If
the trade is not executed or not executed completely you can try an hour later.
Here I assume that the hour between the two trades leaves the price more or less
uncorrelated.
rgds, Ed
----- Original Message -----
Sent: Friday, May 13, 2005 3:08 PM
Subject: [amibroker] Re: slippage
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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