Trading Slippage: The Cost That Quietly Kills Strategies
Slippage destroys edge—especially on stops. Learn what slippage is, when it happens, and how to estimate it to protect your real-world PnL.
Slippage is the gap between expected and actual fills. It often explains why real PnL underperforms backtests.
Why slippage happens
- Fast moves and news events
- Low liquidity
- Stop orders in cascades
- Oversized positions
Slippage is worse on exits
Stops slip more than entries. A planned -1R can become -1.5R or worse.
How to estimate slippage
Add a buffer in basis points or track real fills across a sample of trades. Model entry and stop slippage separately.
Tools: