Since the beginning of the year, I have been keeping statistics on slippage of futures instruments when opening / closing a position using a stop order. Everything on my sheet 37 futures.
- Since the beginning of the year there have been 82 transactions.
- IN 44 cases there was slippage.
- IN 5 cases there was negative slippage, that is, in favor of the trader.
- Average slippage per trade in dollars — 21,62
- Average slippage in one trade in ticks — 2,48
This is not a circle, but for a transaction. That is, to find out in a circle, must be multiplied by 2. We get approximately 44 dollar or 5 Ticks. If we add about 6 dollars or 1 tick on commission, then we get that when testing systems for a portfolio of futures, it is necessary to take into account the costs in one transaction 50 dollars per circle, or 6 Ticks.
Most Outstanding Slips (>50 Dollars) Were:
- Coffee — (281.25) (56.25) (56.25)
- Gold (50) (80)
- Palladium 175
- Cotton 145
- Lumber 66
- Oat 50
- Nicky 50
- Platinum 65
- Soybean oil 90
