Many people track their real life trading using P123 ports. Why not use this data to calculate slippage statistics? Interesting stats/graphs would be slippage versus MktCap or slippage versus AvgDailyTot(20). Step two would be to build slippage models based upon MktCap or AvgDailyTot() and incorporate into simulations.
Results: Total score: 33 , # of Votes: 12 , Average: 2.8
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Requested by: InspectorSector
On date: 01/12/07
Category: Portfolio

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