Custom slippage feature

Roadmap
1

Can you please add the ability for the user to create a custom slippage formula to the road map?

Thanks
Tony

2 Likes
2

We have released a new "Advanced Slippage" that may do what you need. A formal announcement is coming soon. Here's the KB article about it Transaction Cost Models

You can find Advanced Slippage in the General tab of portfolio simulations:

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A Port (OOS) and Sim Over the Same Period Perform the Same
3

Thanks Marco!!!. With K = 2.5 most of the decay from my sim results vs live out-of-sample for my port results is gone. This is a huge advance as far as realistic expectations for future returns based on a backtest.

It also suggests that overfitting is not always the major cause of out-of-sample decay. Maybe realistic return expectations for our ML models using validation and test samples (which reduces any overtftting) is possible!!! That is impressive.

But also, I think this will give a much better determination of the best sell rule based on RankPos or Rank in a sim—balancing signal decay and transaction costs with realistic numbers for the transaction costs. So it has a use-case for making better models. I have already changed the sell rule in my port.

Excellent!

3 Likes