Let's say you have a wide universe and you want to optimize a ranking system by running simulations. Your ranking system includes some size factors (smaller stocks better). Then you pretty much have to use variable slippage, otherwise you won't be taking into account the increase in transaction costs as those size factors get greater weights. It's really a very imperfect system. If you are as dissatisfied with variable slippage as I am, please pledge some money towards formula-based slippage: Formula-based slippage
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