Slippage estimate for backtesting

Discussion in 'Trading' started by AlchemistTrader, Mar 17, 2002.

  1. I've been backtesting a trading system and the results look very promising. However, I'm not sure if my slippage assumptions are too optimistic.

    I'm assuming that all trades are executed at the open, and have been allowing 20bps per trade for slippage. I've been backtesting on large cap stocks (Nasdaq 100, S+P 500).

    Does this sound too optimistic ?

    Any feedback would be much appreciated.