Keep after worst-case slippage concern

Good afternoon/evening,

To whom it may concern;

Our system EUReka III is showing some fairly horrendous data for the KAWCS stat lately for some reason, -9% at the moment.

If this is not a mistake we would be keen to know why such a number especially as it is the only metrics that does not really match our own calculations. Considering we only trade EUR/USD which is the most liquid pair there is, that we do not scalp (average trade time 4hrs and average winner about 40 pips), and that we very rarely open trades during economic releases, we are at a loss to understand it. We’ve gone through the log and not once did we open a trade when the market gapped, and even if it did happen once or twice it would not explain a negative KAWCS.

So thank you in advance for any help with that.

Kind regards,


Hello again C2 team,

Can anyone acknowledge this by any chance? Any help/comment would be appreciated, the KAWCS is now -59% and we’ve only traded 3 times since Tuesday so really it’s very intriguing.

Thank you!

The stat basically asks: If an autotrader has to eat the spread every time he trades (obviously not a realistic probability), what percentage of the total profits that the system has accrued so far would have been consumed by this total spread sum?

Or, mathematically:

KAWCS = ( TOTAL TRADE PL - SUM(all bid/ask spreads of all trades) )

/ (divided by)


So you can see how the stat can be EXTREMELY sensitive if the denominator (total trade PL) has a very small magnitude.

A few things to note:

1) The stat is only one stat among many. It’s not worth freaking out or getting upset about. It should be taken with a pinch of salt by both system shoppers and system developers.

2) Spreads can sometimes matter, even in cases where limit orders are used. This is because, if there is not enough market liquidity to fill all your autotraders at your limit, conversion to market will take place.

3) The stat will become less sensitive as the denominator (i.e. total PL magnitude) rises… so don’t get too upset about these early numbers.


Thank you very much for your reply Matthew!

Upset? No we probably wrote that with a smile, we just found it odd. In fact based on your formula it means that our KAWCS is equivalent to an autotrader eating an extra 3.76 pips spread for each trade, which we still find more than odd.

And it’s only one statistics but it’s so off compared to the others that we would definitely be put off if we saw it on other systems so why shouldn’t everyone else? :slight_smile:

Besides it’s a criteria for figuring on the Hot Forex list so it has some indirect unwanted effect as well that was the main concern here really.

But if you say that it’s properly computed then case closed and thanks again for the explanation.

Kind regards,