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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?
I'm testing a momentum based system looking at 30 markets in FX, Bonds,
and Commodities. Round trips work out at c.3000 per annum per $mn. (1000
for FX and Bonds, 2000 for Commodities). Does anyone have any
suggestions on the level of slippage I should use. If I get a sufficient
response I'll post an e-mail on the results.
Good Trading and Thanks in advance,
Aongus O'Gorman
Gandon Financial Fund Mgt.
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