Adrian Reid gives practical advice on managing slippage for short-term mean reversion systems that enter at the open. He emphasizes trading with very small size until execution (order entry and fills) is under control, recording actual vs. intended entry prices, comparing order methods (market, limit, adaptive), and reviewing execution quality after 10–20 trades to find the best approach.
With a mean reversion system that's fairly short term, like that one, the average profit per trade is quite small. If you get a couple of percent of slippage on the entry and a couple of percent of slippage on the exit, you're losing money before you start. So the first thing is, until you.
Get the order, entry and execution under control, I would trade it with very small size. Okay. And then as you get better, it'll get easier to get your orders filled.
And you don't have to trade it. Okay. If you're going to trade it, do it with small size until you're confident that you're getting it right. When you trade it, make sure that you record the entry price you got and how you tried to enter the trade and the entry price you should have got. And when you've got a bit of data about your execution quality, 10, 15, 20 trades, then do a bit of a debrief on it. Okay. These ones I just use a straight market order. These ones I used a limit order. These ones I actually missed these trades because I used a limit order and it didn't get filled. These ones I did an adaptive market order and then look at the slippage and see. Find the best way.
Sam.
