Useful info on the slippage - thanks. Do you happen to remember what some of the underlying events were?
You're missing the point. You don't have a true edge. If you did you wouldn't be posting here. You would have already quit your job and borrowed every penny you could to trade. What you have found is not an "edge" like a casino has. Its market action and its likely very temporary.
Yes I will reinforce this point. Keep your day job until you have proven and made some money. Hire someone to execute for you if you can't execute yourself because of your job, and put more money in your trading account. Thats all I had to say and now I am out of the discussion.
Every part of a casino except possibly the keno lounge has a much weaker edge that what's being described here. And it's trivial to buy equity in an edge like a casino has - plenty of them are publicly traded. I doubt anyone rational is suggesting levering up to do that.
The reality is that a lot is riding on the assumptions of future results, and the wild card factors in the case of failure are not immediately evident to those who have not experienced it first hand. Risks/stakes in the case of a loan would be immediately compounded, quite unnecessarily, and life implications cannot be understated in case of failure. (hint: I have been down this path, so I am giving honest life advice here). Agree 100.00% with Maverick74. Keep the job. I would trade on the side and get enough money ahead to create a large, safe runway (at least seven figures of after-tax trading profits based on OP's salary/career path) to truly justify making a major life decision based on a career in gambling with (or should I say, against) the big boys.
Just an aside about risk. The 1987 Stock market crash was 20 standard deviations from the mean, and statistically impossible, but it happened.
The 21-tick slippage happened when I had an initiating buy stop 1-tick above a small symmetrical triangle in the middle of nothing special (in other words it wasn't a break of a high or low in a strong trend or anything like that). If your strategy uses hard stop loss orders and you were short (and it was a setup where a micro-scalper would very likely have been short, rather than looking to go long like I was), then your loss was at least 21 ticks more than you expected. The other larger slippage events were pure breakouts where I sold 1 tick below the LOD or bought 1 tick above the HOD and I made the mistake of placing my order kind of at the last minute, LOL! (However, the good news is when you're slipped like that there's usually a lot more profit on the way).
Which is all well and good, but not really relevant to discussing a scalping method that protects itself with stops held at the exchange. My understanding is that SP that day traded in ~10 tick jumps, but was liquid.
This is an interesting point of discussion that I think about from time to time. What if there was the black hole swan where liquidity disappeared completely? Likely? Probably not. But I bet some risk manager out there is pondering such a scenario, and figuring out what event(s) would cause something like that to occur.