So you are seeing slippage results quite similar to mine.I just did a report from 1st April (since I haven't made any serious changes)
https://photos.app.goo.gl/RzTuwxLh5n873YVPA
Code:******************************************************************************** Trades report report produced on 13/09/2022 08:57 from 01/04/2022 00:00 to 13/09/2022 08:57 ******************************************************************************** delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BRE -21.358850 CRUDE_W_mini 64.076550 DJSTX-SMALL -47.608556 EU-BASIC -71.412835 EU-OIL 73.576860 IRON 12.815310 KR10 9.289177 MXP 2.135885 SILVER -18.368611 TOPIX -0.600178 V2X 58.428683 dynamic_TF_carry AUD 108.930135 BITCOIN -364.595570 BRE -8.543540 BUND 528.022170 CORN 1569.875478 CRUDE_W_mini 3006.258143 DAX -2.596830 DJSTX-SMALL 23.804278 DOW 17.514257 EU-BASIC 705.472244 EU-OIL -38.952455 EUR 1516.478353 EUROSTX -510.709968 FTSETAIWAN 111.066020 GAS_US_mini -3481.492556 GBP 400.478438 GBPEUR -1006.250000 GOLD_micro -164.035968 IRON -66.212435 JPY 576.688951 KOSDAQ 283.629552 KR10 120.759307 LEANHOG -264.849740 LIVECOW -410.089921 MSCISING -33.684812 MUMMY 57.016951 MXP -207.180845 NASDAQ_micro 831.713621 NIKKEI -201.059776 NIKKEI400 -151.545055 RUSSELL 41.649758 SILVER 17.087080 SOYBEAN 5.339713 SOYOIL -1391.742669 SP500_micro 1146.970247 TOPIX -15.004461 US10U 1468.420940 US20 -574.019095 V2X 75.740885 WHEAT -2803.349068 YENEUR -1200.356869 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 60.973435 dynamic_TF_carry -283.355111 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BRE -4.271770 CRUDE_W_mini -32.038275 DJSTX-SMALL -4.328051 EU-BASIC -2.164025 EU-OIL -4.328051 IRON -8.543540 KR10 -9.289177 MXP -2.135885 SILVER -0.427177 TOPIX -5.101517 V2X -10.820126 dynamic_TF_carry AUD -2.135885 BITCOIN -14.737607 BRE -8.543540 BUND -17.312202 CORN -21.358850 CRUDE_W_mini -96.114825 DAX -77.039300 DJSTX-SMALL -201.254352 DOW -5.126124 EU-BASIC -670.847840 EU-OIL -428.477007 EUR -21.358850 EUROSTX -8.656101 FTSETAIWAN -8.543540 GAS_US_mini -96.114825 GBP -16.019138 GBPEUR -31.250000 GOLD_micro -20.077319 IRON -177.278455 JPY -10.679425 KOSDAQ -8.669899 KR10 -9.289177 LEANHOG -17.087080 LIVECOW -8.543540 MSCISING -3.062256 MUMMY -21.006245 MXP -14.951195 NASDAQ_micro -1.708708 NIKKEI -6.001784 NIKKEI400 -16.504907 RUSSELL -6.621244 SILVER -42.717700 SOYBEAN -5.339713 SOYOIL -99.959418 SP500_micro -5.339713 TOPIX -13.504015 US10U -13.349281 US20 -13.349281 V2X -23.804278 WHEAT -368.440163 YENEUR -22.506691 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -83.447594 dynamic_TF_carry -2654.681474 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BRE 2.593619e-13 CRUDE_W_mini -6.165403e-12 DJSTX-SMALL -4.901203e-13 EU-BASIC -0.000000e+00 EU-OIL 2.959942e-12 IRON -2.442448e-13 KR10 0.000000e+00 MXP 2.130473e-12 SILVER 7.054643e-13 TOPIX 0.000000e+00 V2X -1.837951e-13 dynamic_TF_carry AUD -4.271770e+00 BITCOIN 7.689186e+00 BRE 0.000000e+00 BUND 1.731220e+01 CORN 1.067943e+01 CRUDE_W_mini -4.271770e+01 DAX 5.193661e+00 DJSTX-SMALL 2.596830e+01 DOW -9.825071e+00 EU-BASIC 5.713027e+02 EU-OIL -1.731220e+01 EUR 2.135885e+01 EUROSTX 0.000000e+00 FTSETAIWAN -1.708708e+01 GAS_US_mini -3.203828e+01 GBP 2.135885e+01 GBPEUR 1.250000e+01 GOLD_micro -5.126124e+00 IRON 0.000000e+00 JPY -9.261925e-12 KOSDAQ -4.334949e+00 KR10 -1.238557e+01 LEANHOG 0.000000e+00 LIVECOW 0.000000e+00 MSCISING -3.062256e+00 MUMMY 0.000000e+00 MXP -4.271770e+00 NASDAQ_micro 1.623273e+01 NIKKEI 0.000000e+00 NIKKEI400 -6.001784e+00 RUSSELL 1.281531e+00 SILVER -2.563062e+01 SOYBEAN 1.067943e+01 SOYOIL 5.638736e+01 SP500_micro -1.174737e+01 TOPIX 4.501338e+00 US10U 0.000000e+00 US20 -0.000000e+00 V2X -3.073097e-13 WHEAT 2.135885e+01 YENEUR 7.502230e+00 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -1.028322e-12 dynamic_TF_carry 6.154941e+02 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BRE 0.000000e+00 CRUDE_W_mini 0.000000e+00 DJSTX-SMALL -8.656101e+00 EU-BASIC -4.328051e+00 EU-OIL -8.656101e+00 IRON 0.000000e+00 KR10 0.000000e+00 MXP 0.000000e+00 SILVER 0.000000e+00 TOPIX 0.000000e+00 V2X -2.164025e+01 dynamic_TF_carry AUD 0.000000e+00 BITCOIN 0.000000e+00 BRE 0.000000e+00 BUND 0.000000e+00 CORN 0.000000e+00 CRUDE_W_mini -5.339713e+01 DAX -5.713027e+01 DJSTX-SMALL 0.000000e+00 DOW -1.836861e+01 EU-BASIC 0.000000e+00 EU-OIL -3.029635e+01 EUR 0.000000e+00 EUROSTX -1.731220e+01 FTSETAIWAN 0.000000e+00 GAS_US_mini 0.000000e+00 GBP 0.000000e+00 GBPEUR -1.387779e-11 GOLD_micro -6.834832e+00 IRON 0.000000e+00 JPY 0.000000e+00 KOSDAQ 0.000000e+00 KR10 0.000000e+00 LEANHOG 0.000000e+00 LIVECOW 0.000000e+00 MSCISING 0.000000e+00 MUMMY 0.000000e+00 MXP 0.000000e+00 NASDAQ_micro 0.000000e+00 NIKKEI 0.000000e+00 NIKKEI400 0.000000e+00 RUSSELL -2.990239e+00 SILVER 0.000000e+00 SOYBEAN 0.000000e+00 SOYOIL 0.000000e+00 SP500_micro 0.000000e+00 TOPIX 0.000000e+00 US10U 0.000000e+00 US20 0.000000e+00 V2X -4.328051e+00 WHEAT 0.000000e+00 YENEUR 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -43.280506 dynamic_TF_carry -190.657682 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BRE 0 CRUDE_W_mini 0 DJSTX-SMALL 0 EU-BASIC 0 EU-OIL 0 IRON 0 KR10 0 MXP 0 SILVER 0 TOPIX 0 V2X 0 dynamic_TF_carry AUD 0 BITCOIN 0 BRE 0 BUND 0 CORN 0 CRUDE_W_mini 0 DAX 0 DJSTX-SMALL 0 DOW 0 EU-BASIC 0 EU-OIL 0 EUR 0 EUROSTX 0 FTSETAIWAN 0 GAS_US_mini 0 GBP 0 GBPEUR 0 GOLD_micro 0 IRON 0 JPY 0 KOSDAQ 0 KR10 0 LEANHOG 0 LIVECOW 0 MSCISING 0 MUMMY 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 NIKKEI400 0 RUSSELL 0 SILVER 0 SOYBEAN 0 SOYOIL 0 SP500_micro 0 TOPIX 0 US10U 0 US20 0 V2X 0 WHEAT 0 YENEUR 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 dynamic_TF_carry 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BRE -4.271770e+00 CRUDE_W_mini -3.203828e+01 DJSTX-SMALL -4.328051e+00 EU-BASIC -2.164025e+00 EU-OIL -4.328051e+00 IRON -8.543540e+00 KR10 0.000000e+00 MXP -2.135885e+00 SILVER -4.271770e-01 TOPIX 0.000000e+00 V2X -1.082013e+01 dynamic_TF_carry AUD -6.407655e+00 BITCOIN -7.048421e+00 BRE -8.543540e+00 BUND 2.460165e-11 CORN -1.067943e+01 CRUDE_W_mini -1.388325e+02 DAX -7.184564e+01 DJSTX-SMALL -1.752860e+02 DOW -1.495120e+01 EU-BASIC -9.954516e+01 EU-OIL -4.457892e+02 EUR -2.371348e-11 EUROSTX -8.656101e+00 FTSETAIWAN -2.563062e+01 GAS_US_mini -1.281531e+02 GBP 5.339713e+00 GBPEUR -1.875000e+01 GOLD_micro -2.520344e+01 IRON -1.772785e+02 JPY -1.067943e+01 KOSDAQ -1.300485e+01 KR10 -2.167475e+01 LEANHOG -1.708708e+01 LIVECOW -8.543540e+00 MSCISING -6.124511e+00 MUMMY -2.100625e+01 MXP -1.922297e+01 NASDAQ_micro 1.452402e+01 NIKKEI -6.001784e+00 NIKKEI400 -2.250669e+01 RUSSELL -5.339713e+00 SILVER -6.834832e+01 SOYBEAN 5.339713e+00 SOYOIL -4.357205e+01 SP500_micro -1.708708e+01 TOPIX -9.002677e+00 US10U -1.334928e+01 US20 -1.334928e+01 V2X -2.380428e+01 WHEAT -3.470813e+02 YENEUR -1.500446e+01 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -69.056900 dynamic_TF_carry -2039.187394
So in ~5.5 months my execution algo 'earned' £600 versus I would have paid £2700 in bid-ask spread costs for a net cost of £2100; so it's reducing my slippage to more like 78% of what you'd expect. I also paid £350 in commissions.
Those results are however heavily affected by a few trades on which the slippage was quite large as the plot makes clear. It certainly doesn't look like the algo is adding much value, but I don't think it's losing any money eithier.
While I'm here, a useful sense check is to annualise the above figures and divide by maximum capital to get a percentage (400k). I get 1.1% in annual slippage (net of execution algo) plus 0.2% in commissions for a net of 1.3%. That's much lower than the 3% from last year, and only a tad above the 1% in my backtest.
Rob
Thanks for the information.
