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Investment Strategies / Mechanical Investing
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Author: lizgdal ✶🐝  😊 😞
Number: of 5385 
Subject: P123 slippage
Date: 03/14/26 2:25 PM
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No. of Recommendations: 6
P123 slippage is about half of GTR1 friction. In GTR1, I classify screens by market-cap, and plan to use the following:

 Cap   friction  slippage
Large    0.1       0.05
Small    0.4       0.2
Nano       2         1


P123 variable slippage is available in simulated strategies, and is based on 10-bar average dollar volume:
0 - $50K → 5%
$50K - $100K → 1.5%
$100K - $350K → 0.75%
$350K - $1M → 0.5%
$1M - $5M → 0.25%
$5M+ → 0.1%

Author: borisnand
Subject: friction estimate
Date: 11/16/2019
dv10_from      to     Count  Slippage
    0       250,000    126     0.65%
 250,000    500,000    312     0.51%
 500,000   1,000,000  1762     0.31%
1,000,000  2,500,000  4138     0.16%
2,500,000     max     17622    0.01%
  total      23960    0.07%    0.24%

https://yorickm.com/Message.php?pid=34345878


Slippage effects can be tested using a high turnover screen like {HighTurnoverScreen}.

friction     0      0.4%     2.0%
slippage     0      0.2%     1.0%
 
  start     P123    P123     P123
1/4/2021   7.37%   2.97%   -12.97%
1/11/2021  16.23%  11.47%  -5.76%
1/18/2021  9.81%   5.35%   -10.81%
1/25/2021  4.55%   0.22%   -15.44%
   avg     9.49%   5.00%   -11.25%
 
GTR1 avg    11.8     7.2     -9.7
 GTR1 sd     3.1     2.9     2.5
   nSD       0.8     0.7     0.6


https://gtr1.net/2013/?~HighTurnoverScreen:h19f2::...
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