how to model slippage for stocks.

Discussion in 'Strategy Development' started by mjstox, Oct 20, 2009.

  1. mjstox


    How are you guys modeling slippage for stocks? I'm looking at a daily system that buys on the open and closes the position at the end of the day.

    Portfolio is 200 of the highest volume stocks.

    thanks in advance.

  2. Hi,

    Be very careful with buying on the open type strategies on US exchanges.

    One system of mine that backtested beautifully could not actually be traded because in reality there is not enough volume at the exact open.

    Nasdaq stocks are a bit better but still only $200-300k goes through at the open. If your order size is anymore than $5-10k chances are you could influence the price.

    Good luck.

  3. u would not have to model for slippage if you counter trend trade where u enter the trades while they are going against you.