Highly illiquid strategy, simulate slippage

[rtelford]

I’ve been playing with a strategy for very illiquid names, nano and pico caps (TSX Venture exchange). Very illiquid as in some stocks do not trade every day (some days w/ zero volume).

I use fixed slippage with good results, but variable slippage kills the strategy (not surprisingly).

Two questions:

1. How is variable slippage calculated, and
2. Is there a way to simulate “scaling in” or “scaling out” of positions, instead of assuming a single transaction, to help reduce friction and slippage?

Thanks!
Ryan

[abwillingham]

This may be it.

New slippage option in Simulations: "Variable"

There’s a new option for slippage in Step 1 of a simulation: “Variable”. The slippage % is calculated for every transaction based on this simple algorithm: The 10 bar average of the $ daily traded is calculated (price*vol) the slippage is set according to where the avg falls in this table: 0 - $50K → 5% $50K - $100K → 1.5% $100K - $350K → 0.75% $350K - $1M → 0.5% $1M - $5M → 0.25% $5M+ → 0.1% Add (0.01 / Price) to the result from Step 2 Step 3 would add, for example, 1% to the slip…

[rtelford]

Ah yes, this should work. Thanks!