Real-life slippage?

These are statistics from extreme-os:

Cumu $ $614,600

after typical commission $554,634

and real-life slippage $556,653

According to this statistics the slippage would be favorable. This is against all subscriber reports of that system. Either the subscriber reports are biased, or the slippage data are biased, or there is something wrong with the way in which the last statistics is calculated.

PS. It is not my intention to discredit the system, I’m just curious about the statistics.

It’s known problem. Even with autotraders C2 shows first real fill of luckiest subscriber. So you have a deal with best “real” life stats. Now put number of subscribers to 100 and you’ll get the picture. :wink:

Personally, I don’t know how it can be improved. Market orders are practically unpredictable and the orders cannot be simulated.


P.S. In Tango I request subscribers to report market order as a problem to C2’support if C2’s price is better than average price of a market orders fill for the subscriber. But it’s manual corrections.

So, all the time the potential subscriber thinks that this system has positive slippage and he can’t lose. Another way that the subscriber is getting ripped off…When is this going to stop?..

A potential subscriber has no idea of how to evaluate a system/method, or what principles are involved in creating a good system. The only alternative he has to action governed by principles, is action expressing short-range impulse (getting carried away by how good the equity curve looks). But for man, the short-range, viewed long-range, is self-destructive. This is the practical point missed by pragmatism, which tells people to judge each choice of a system not by reference to abstract theory, but only by its results after it has been tried, which insists that today’s results need not recur tomorrow, and which urges that each situation be approached “experimentally,” on its own terms." Such a philosophy amounts to the decleration: drop your mind, discard your capacity for thought, decide each case perceptually (looking at only the equity curve). This is precisely what man cannot do; not for long.

Consistency, in regard to any goal beyond the perceptual level or the routine, cannot be achieved by sense perception, subconcious habit, or luck. It can be achieved only by the aid of explicit values and principles.

If he wants to be successful, a subscriber needs an integrated, hierarchically structured, noncontradictory system of principles, which enables him to choose, plan, and act long-range. He needs such a code, as should now be clear, not merely because he has free will, but because he is a living organism, who must learn to use his free will correctly. He needs these principles because his life requires a specific course of action and, being a conceptual entity, he cannot follow this course except by the guidance of concepts.

(sigh) Palsund, take your pills. I understand everything from people in trading/around trading area at least I hope. Bad days, nervous breakdowns, smoke, drinks. You’re out of the picture that I understand you have to take the medicine that your doctor prescribe yo you.


Well go on then, continue ripping people off. You are the specialist in that along with MK.

Jules: If the real-life slippage stat is less than the stat without slippage, that implies slippage is not favorable, which seems correct to me.

Yes, but it is not less, it is more.

A simple but good observation Jules, Hats off to you…

Matthew: More specifically, the last statistic is larger than the middle statistic. If I read the text then it says that commissions are subtracted from the middle statistic, and that commissions and slippage are subtracted from the last statistic. The middle one is $554,634 and the last one is $556,653. That means about $2000 favorable slippage.

I’m going to write a book: con EU…

Sure. As usually you’ll be rejected by any publisher lol

I’ll give you a little secret. What was written in “Con Ed” is Silicon Valley of golden era. Moreover, I have no idea where MK got his imagination for personal responsibly for an investments. But it’s true as well. And I don’t want to know where he got the unlawful idea for his book. :wink:

From the point, the idea isn’t so bad. If every lunatics as you or poor peasants from offshore bets his/her life for a system. C2’s data will be clean and the market controls itself. From other point, of course I’m fantasizing and the practice never exists in real life lol

Palsund, why you don’t want to take your pills and see your doctor?


I sure don’t understand you, man. You rant and rave like a deranged rabis infected dog, but make no sense. Con Eu would’ve been a good title for MK’s book instead of Con Ed…

Please stop infesting this thread. I just want an answer to my questions about statistics, not your BS about ripping off people.

I’m glad that you’re raising this topic. I’ve been observing this same phenomenon (P/L after real-life slippage is higher than P/L after commissions) for many systems: extreme-os, Tango, woowy 2007/4, BIG CAT etc. etc.

I don’t know the cause of this but I know that in case of extreme-os it did not represent the reality you and I faced in our own accounts.

On the other hand I think it’s an extremely difficult task to show a reliable slippage figure that holds for 99% of subscribers. There are just too many factors affecting slippage that vary between subscribers: trading size, auto trading technology (if present at all), latency, broker etc. So, even if C2 would show a reliable average, its value is quite limited. On top of that is the fact that none of the statistics include slippage-adjusted data, so it’s hard to compare systems with slippage anyway. Finally–I believe we discussed this as well–it’s hard to calculate a slippage-adjusted equity curve because the size of the trades has to be adjusted downward over time to account for the fact that capital is growing slower with slippage than without slippage.

A few days ago I suggested that it would be great if C2 could show for each trade the average, minimum and maximum slippage across all auto traders. What do you think about that?

I agree about the consequences, but the question now is what the cause is in this case. It is possible that our personal experiences are way of the average, but it is too easy to assume that without investigating. For example, Eu gives a very different explanation, saying that not the average but the first fill is used. Another explanation is that we give the wrong interpretation to the wording of the third statistic, namely that the word and doesn’t mean

"Cum with commissions and slippage subtracted" but

"and Cum with slippage subtracted"…

Another question is if the slippage statistic agrees with the fill data that are now available. It can also make a difference how older and newer data are weighted. Etc.

Wrt the min and max, I already answered that in the other thread. Probably it was burried under Palsun attacks. I think that in principle an average should be enough. The problem with minima and maxima slippage per trade is that they are extremely variable. Even for an individual subscriber only the average of his slippage counts. If there are indeed large differences between subscribers, I would rather be interested in the distribution of their averages. I.e. take for each subscriber the average slippage and report the minimum and maximum of that.

I’m sorry. Indeed I overlooked your answer. Once threads start to go off topic I often don’t follow them any longer. But I think your suggestion of knowing % trades “not executed” is interesting, as is knowing the distribution of averages.

I agree that we might misinterpret the wording of the commissions and slippage statistic, but they seem inconsistent with the adjusted equity curves as well. For extreme-os, the “Best-case, with commis” curve is identical to the “Best-case fills, no commisson” curve, while there is a $60K difference according to the stats. In addition, there is a ~$200K difference in final equity between the “Best-case fills, no commisson” curve and the “Adjusted by Realism Factor” curve. I would expect this $200K to show up in the P/L after slippage as well, because the RF is supposedly based on real-life fills.

P/L figures should include all trading costs (slippage, commissions, fees).

For stocks, the slippage per side per trade and commissions/fees per side per trade should be included.

For futures, the round turn slippage per contract and the round turn commissions/fees per contract should be included.

Trading costs should include only the worst-case trading costs (worst-case slippage, commissions and fees) , not the average or the best case. After all, a subscriber is interested in the worst-case scenario, not the best-case rosy scenario (if C2 wants to retain the subscriber instead of being content with attracting newer and newer subscribers as the older subscriber leaves frustrated and disappointed after trying out a promising looking system).

Without these figures, the subscriber has no way of knowing whether any system is truly a profitable system until after he has tried it ‘experimentally’…of course this is good for MKs bottomline…

> I sure don’t understand you, man. You rant and rave like a deranged rabis infected dog…

Are you an anti Semitic dog hater Neil? Oh! You mean rabies,

not “rabis” or rabbis. Neil (Brian, Pal, et al), in case you haven’t

noticed, you rant a bit yourself. And posting in different names,

and forgetting which is which, seems a bit deranged (just FYI).

Sorry folks, I just can’t resist irony.

Neil - Do you purposely spout off garbage in order to derail the thread, or is it something you do without thinking? Also, I’m curious if you normally scold others who don’t speak our language for their attempts at communicating, or if you just insist on being malicious in the case of Eu.

For example, Eu gives a very different explanation, saying that not the average but the first fill is used.

I still stand on the point :wink: C2 shows first real fill, not average fill across all autotraders.

Anyway, I don’t see a way how it can be fixed. Market order in stocks depends from a lot of things. Min/Max/Avg won’t show you what you (personally) will have with your broker, with your delays and so on. From my point C2 does best what it can. It shows first real fill.