“Most back testing frameworks model slippage. It is worth knowing what it is.

Slippage is an important component of market simulation

In order for strategy back tests to be realistic we need to accurately simulate transaction costs. Transaction costs include many factors, such as: Commissions, broker inefficiencies, volatility and market impact and others. At Lucena, our product QuantDesk enables clients to directly input a broker’s commission structure for their back tests. And for simplicity we group the remaining factors together as ‘slippage.'”

Read the full blog written by Tucker Balch: What is “Slippage?”