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Hello, I was wondering how to account for slippage on the major issues of larges indexes like S&P 500. Is there a conservative amount to incorporate when making simulation on system tester in points ? I know it should depend volatility but maybe there is a mean to work with. Thanks for your help if you have an idea to deal with that matter.
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 12/17/2012(UTC)
Posts: 7
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An old university study (http://ifs.u-strasbg.fr/large/publications/2001/2001-02.pdf) was giving a 0,2% on average for hyghly capitalized and actively traded stocks for the french major index.
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