Hello Quantiacs, I believe your slippage model is not so good. I see in the official rules:
"A transaction fee of 4% * ATR (14) is deducted for every change in position size of a position. This simulates the impact of slippage and commissions. When calculating slippage and commissions, the sponsor reserves the right to use individual ATR (14) indicators for each type of financial instrument, but not more than 10% * ATR (14). ATR is the Average True Range over the last 14 days."
However, you are not taking traded volume into account. The larger the volume, the smaller the slippage.
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@anthony_m Yes, you are right, we are using a simplified model for slippage. In reality slippage will depend on (among other things) the traded volume. More liquid assets will be prone to less slippage.
However, for speeding up the evaluation, we are using a simplified model based on the gaps, it fits well with historical data.
Clearly slippage will be a function of the allocated USD capital to a strategy.