Published 2026-10-14
Slippage
Slippage is the gap between the price a trade was expected to get and the price it actually got. It is an assumption in every backtest — and hiding it is the fastest way to make a bad rule look good.
What it is
Slippage is the gap between the price a trade was expected to get and the price it actually got.
It exists because the market you are reading is not always the market you can trade in. Thin liquidity, fast moves, and queue position all widen it.
Why it is the quiet failure
Slippage is an assumption in every backtest. A value has to be chosen. The failure mode is not choosing a wrong number — it is not stating the number at all.
- A backtest at 0.1% slippage looks clean.
- The same rule in a thin moment can face 3%.
The rule that trades most is the rule most damaged — and it is also the rule that looks best when slippage is left out.
How to check
Ask for the cost model. If slippage is not stated, it was assumed to be free — and no market has ever offered that.