This is my first post, many thanks to all contributors!
I am backtesting high churn system which enters on open and exits on close using market orders. My original assumptions were that with Market On Close orders I would experience both positive and negative slippage about 50% of the time, and therefore I could ignore slippage. Is this a correct assumption?
Maybe, but, that's not the market I know. You might experience slippage evenly, but slippage often goes with the trend. So if you're closing out a long on a downstroke slippage will probably work against you.
If you're long in an uptrend or short in a downtrend, slippage may cancel out. If you're short in an uptrend or long in a downtrend, it may work against you. Best case is neutral, worst case is negative.
I'm no expert. I would err on the side of conservatism, myself.