Can you please tell me how the Keep after worst-case slippage statistic is calculated?
Looking at my orders you would never get any slippage on this size of contracts over the Forex pairs that I trade, particularly at the times I trade, yet it is saying that you would lose over 10% of the profits trading my system due to slippage. Other Forex systems that trade over double the size that I do have a result of 100%.
For the statistic to be accurate for any system in any market you would have to have access to the market depth for the instrument traded at the point in time that the trade was made. There are no averages available that could be used to calculate this statistic, and if there was the systems trading very large contract sizes would be the ones penalised.
I know it states that it is only one statistic that should be weighed with the others, but the bottom line for any investor is to make profit and this statistic is a negative for that.
I am happy to be enlightened on this, but I just canât see how this statistic can be accurate at all even on average, and if it is flawed surely it should be removed.
As a note, it seems to get worse as I enter and exit trades faster.