I don't keep the greatest records, but I do keep some as I'm trying to find this out. If on paper your edge for a strategy is .15% with no commissions and slippage, what would have been your edge had you traded it live? Is the spread of the stock a function of the cost of getting into the market compared to made you paper traded it (like taking the close of a bar)? Well... if you want to get long and you hit the offer all the time yes. But I really don't think that it is. On the backtest you have a price. 1/2 the time that price is the offer and 1/2 time the price is the bid. So if you wack the the other side your slippage should be 1/2 the avg spread per side, however say.. the price on the backtest is 50.00 the spread is 49.97 X 50.03. Say you bid @ 49.98. Everytime you get filled you you beat the backtested price by .02 but sometimes you don't... what is your true slippage??? From my real time results my average cost differential from my real time results to paper traded backtested results is .01% on the average stock price of $44.00. That's only ~ 1/2 of a tick. I trade stocks that do ~ 1.5 million per day What are yours?