Slippage assumptions: the line that decides everything
Posted: Sat Oct 31, 2026 8:53 pm
A backtest that adds zero slippage tells an incomplete story. Even a modest assumption can change the verdict on a short-term strategy.
Consider a system that makes 2.5 pips gross per trade on average, with 0.7 pips in costs. Adding half a pip of slippage on entry and half a pip on exit cuts the net from 1.8 to 0.8. That is more than halved.
The right number depends on the broker, pair, size, and time. Calm EURUSD might have almost none. A fast GBPJPY at the news might have several pips.
The best source is real data from live or small account trading. Measuring the difference between requested and filled price across a few hundred trades gives a realistic distribution.
Using a pessimistic assumption in the backtest is safer than an optimistic one. If the strategy survives with double the expected slippage, it has a margin of safety.
How much slippage is assumed in backtests, and where did the figure come from?
Consider a system that makes 2.5 pips gross per trade on average, with 0.7 pips in costs. Adding half a pip of slippage on entry and half a pip on exit cuts the net from 1.8 to 0.8. That is more than halved.
The right number depends on the broker, pair, size, and time. Calm EURUSD might have almost none. A fast GBPJPY at the news might have several pips.
The best source is real data from live or small account trading. Measuring the difference between requested and filled price across a few hundred trades gives a realistic distribution.
Using a pessimistic assumption in the backtest is safer than an optimistic one. If the strategy survives with double the expected slippage, it has a margin of safety.
How much slippage is assumed in backtests, and where did the figure come from?