SPEC-EAV-001 v0.2 · Layer L3 Execution and verification

`E-03` Slippage assumption verification

E-03 compares the slippage and spread assumed in a backtest against what was actually observed in live trading, separated by session and by volatility regime rather than aggregated into a single figure.

What it examines

The configured slippage and spread assumption, against live observations.

How it is computed

Compare the backtest's configured slippage and spread against live observations, separated by trading session and volatility regime.

What a defect means

In retail FX the reference for execution quality is produced by the counterparty. A fixed slippage assumption ignores this, and it is most wrong precisely in the volatility regime that matters.

Judgment states

Pass	The structure is observed and meets the threshold.
Caution	The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside.
Defect	The structure is not observed, or clearly falls outside the threshold.
Not judgeable	The required input data is absent. Marked distinctly from a pass.

Threshold

Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.

Basis

Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).

Questions this item answers

How do I verify the slippage assumption in a backtest?
How much slippage should I assume for an FX EA?
Why does a fixed slippage setting understate real execution cost?

Related terminology

entrion.kr glossary →

Revision · SPEC-EAV-001 v0.2 · 2026-08-21

E-03 Slippage assumption verification