Slippage

Slippage is the gap between the price a backtest assumes and the price a real order actually fills at, especially in size or illiquid names.

When a backtest assumes a trade fills at the closing price, reality often disagrees: the market moves between signal and execution, the spread has to be crossed, and a large order eats into the available liquidity. The difference between the assumed price and the realised price is slippage, and it is a real, recurring cost that erodes a strategy's edge.

Slippage scales with how often and how large you trade, so high-churn strategies are hit hardest. Thuztra applies an explicit transaction cost on every rebalance leg; slippage beyond that configured cost is a known limitation we state rather than hide.

Definitions are educational and consistent with Thuztra’s backtest methodology. Backtests are research, not investment advice; past performance does not predict future results.