A precious lesson I learned during my venture over programming an independent backtesting engine for new trading model was slippage.
Simply speaking, slippage is a fraction of stock price which you need to assume as a deviation from the price you are willing to pay. In model backtesting the slippage is extremely important. Why?
"However, in the backtesting of your model this information is available, e.g. your have historical stock prices of IBM in Aug 2008, so you know the future."
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