Step 09: Slippage Sensitivity

This diagnostic re-runs the shortlist over a grid of execution slippage assumptions to estimate how much extra execution cost each candidate can tolerate before the edge disappears.

InputStep 04 shortlist candidates, full-period market data, normal fees, and a slippage grid applied per order.
OutputProfit-vs-slippage curves, break-even slippage estimates, a candidate x slippage heatmap, and an interactive table controlled by a slippage slider.
Used laterUsed as a risk diagnostic in the Summary. It does not change the Strategy Composite Score.
Configuration
EnabledTrue
Timerange01.01.2022-01.01.2026
Grid0.0 - 0.005 step 0.0005
Base portfolio slippage0.0000%

Slippage sensitivity summary

Candidate IdBreak-even SlippageiSurvives Max SlippageiMax Tested SlippageiProfit At Zero SlippageiProfit At Max SlippageiProfit Decay To Max SlippageiProfit Slope Per 1% SlippageiSlippage Levels TestediBuy Ema ShortBuy Ema LongSLTP

Interactive slippage table

Full slippage grid results
Candidate IdBuy Ema ShortBuy Ema LongSlippageiSLTPSegment TimerangeTradesiProfit TotaliProfit absiWin rateiFinal BalanceiSharpeiSharpe Trade BasediSortinoiSortino Trade BasediProfit FactoriExpectancyiProfit DrawdowniMax DrawdowniMax Drawdown RelativeiDrawdown Duration PctiUnderwater MeaniTime Below EntryiBenchmark Profit TotaliAlpha vs BenchmarkiBeta Adjusted AlphaiCorrelation to BenchmarkiBeta to BenchmarkiUpside CaptureiDownside CaptureiCandidate TypeiEfficiency ScoreiBalanced ScoreiProfit Quality ScoreiAccount Profit TotaliAccount Max Drawdowni