Positive slippage;

摘要

Positive slippage is possible when the market bounces off, not through, the stop price. An "or better" fill is considered to be bad execution on an exit stop but is beneficial on an entry stop. In the days of pit trading, skilled floor brokers would choose to "not elect" a stop if there were a lot of size at the price. For example, on a buy stop in the 30-year T-bonds, if the stop price is 126-00 and the market rallies up to and trades 126-00, if there are 1,000 contracts offered at 126-00 the broker can choose not to elect the stop as the large size offered at 126-00 makes it likely the market will go back down. In that scenario if it were an exit stop, the short position still would be viable. If it were an entry stop and the 126-00 print initiated the buy signal, the trader could buy at the market once the price moves back down. This can add to the return of the system and occurs relatively often as entry stops in channel breakout systems often are at high-traffic support and resistance areas and the market may take several passes at a support or resistance area before it breaks through.