How to calculate it
Positive numbers here mean you paid more (or received less) than planned. Measuring it in R shows what it does to your edge rather than just your bill.
Worked through with real numbers
Futures. Long 2 E-mini S&P 500 (ES) contracts with an 8 point stop ($50 per point): planned risk is 2 × 8 × $50 = $800. A CPI release blows through the stop and you are filled 2.75 points lower.
Forex. A 20 pip stop filled 8 pips worse is a −1.4R loss. If that happens on one trade in ten, your losers average about −1.04R and a strategy built on −1R losers quietly loses part of its edge.
Where traders get it wrong
- Backtesting without it. Most backtests fill at the exact level. Add a buffer, especially on stops and news.
- Only noticing it on stops. Market entries slip too, and they shift R on winners as well.
- Forgetting positive slippage. Measure both sides, or you will blame the broker for something that averages out.
Tracking it in your journal
On accounts live-synced through the RBSync EA (MT4, MT5, cTrader), the journal records the broker's actual close, including the real fill, slippage, swap and commission. For manual trades you can enter the exact realised P&L, so R reflects the fill you got, not the level you planned.
See your own Slippage from real trades
Every figure on this page is more useful when it is yours. The free journal works it out from the trades you log or sync.
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