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.