slippage reality stress test
by nowrich
Stress-test trading strategies against slippage, latency, and partial fills to find execution breaking points.
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Works with the AI tools you already use
See it in action
You say
Analyze this CSV of 500 trades. Apply 10bps slippage, a 2x spread multiplier, and 200ms latency. Compare the resulting Sharpe ratio and Max Drawdown against the baseline backtest.
Your agent does
| Scenario | Net Return | Max DD | Sharpe | |----------|------------|--------|--------| | Baseline | 18.2% | -5.4% | 2.10 | | Stressed | 11.4% | -9.8% | 1.35 |
Analysis: The strategy remains viable but Sharpe drops by 35%. Sensitivity is highest for latency during the NY open.
What you get
About this skill
The problem
Backtests often assume perfect liquidity and instant fills, leading to inflated performance metrics that vanish in live markets. Developers need to know if a strategy is actually profitable or just an artifact of unrealistic execution assumptions.
What it does
- Recalculates PnL and Sharpe ratios across multiple slippage tiers from 5bps to 150bps.
- Simulates the impact of wider bid-ask spreads and stale prices caused by execution latency.
- Models partial fills and opportunity costs for unfilled order portions.
- Applies volatility overlays to test strategy fragility during news events and market openings.
Why this beats prompting it yourself
This skill provides a structured framework for execution impairment that covers non-obvious risks like asymmetric slippage and order queue delays. It replaces manual spreadsheet modeling with a standardized stress-testing suite designed specifically for algorithmic trading.
Use cases
- Validating a new alpha before deploying capital to a live brokerage.
- Determining the maximum allowable latency for a HFT or scalping strategy.
- Setting hard limits on acceptable spreads for automated execution engines.
- Comparing the robustness of two different strategies under tail-risk conditions.
How to install
Drop the file into your AI Agent. Works with Claude, Cursor, ChatGPT, and 20+ more.
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