Is slippage really an issue for...

Discussion in 'Strategy Development' started by dafong, May 11, 2008.

  1. dafong

    dafong

    I created a ranking system based only on FUNDAMENTAL criteria and basically every week, it rebalances to the top 10 ranked stocks in the system.


    For example, at the open on monday, you just buy whatever the top 10 stocks are. Next monday at the open, you sell whatever is not in the top 10 anymore, and buy those that have entered the top 10.

    I don't see how slippage is a problem here since the focus of the system is not on any technical criteria.
     
  2. dafong

    dafong

    yah mne's different. it's based on my criteria and returns 100% a year.
     
  3. bellman

    bellman

    Back to your original question. You might be misunderstanding what slippage is. When you make a trade the amount of slippage that occurs is a function of market depth and execution speed. What type of analysis you do is irrelevant. With your time horizon slippage can usually be ignored, but it will occurr somewhat on every market order that you make.