Adamus
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I'm putting together a trading system on end-of-day futures data and I'm currently mulling over the possible slippage that my trades might suffer.
I have already decided to use $50 as my average slippage and commission size, but what I'm really not sure about is the size of the extreme outliers I should expect to see which might blow up my account if I don't get the money management right.
Would anybody care to tell this newby some war stories about fills coming back hundreds or thousands of dollars away from the stop or market order?
I'm quite keen that to make sure that I don't meet a Black Swan (giving away my Nassim Taleb influences there).
I have already decided to use $50 as my average slippage and commission size, but what I'm really not sure about is the size of the extreme outliers I should expect to see which might blow up my account if I don't get the money management right.
Would anybody care to tell this newby some war stories about fills coming back hundreds or thousands of dollars away from the stop or market order?
I'm quite keen that to make sure that I don't meet a Black Swan (giving away my Nassim Taleb influences there).
