Slippage

Slippage is the difference between the price you expected and the price you got. It is usually against you: buying a breakout everyone wants, selling into a falling stock, or a stop filled below its trigger after a gap. Small, thinly traded stocks have the most.

A backtest that fills every trade at the exact signal price overstates results. Allowing some slippage on each entry and exit, and more in small stocks, gives a more honest picture.