Evaluating Trading Strategies: Slippage, Commission, and Key Performance Metrics

Introduction

When evaluating trading strategies, it is essential to consider several factors that impact the real-world performance of the system. Two crucial elements often overlooked in backtesting are slippage and commission. Additionally, various performance metrics such as profit factor, expectancy, maximum drawdown, and equity curve analysis play significant roles in assessing a strategy's viability. This article delves into these factors, providing insights and methods to evaluate trading systems effectively.