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Transaction cost modelling

Accounting for every cost of trading in the backtest: commissions, spread, slippage, market impact, borrow, financing and taxes. Usually the difference between a great strategy and a bad one.

Build it as an explicit cost per trade rather than a haircut on the final return, because costs scale with turnover and not with time. A strategy trading twice a day and one trading twice a month deserve wildly different treatment.

Worked example: 0.04% round-trip commission plus a 0.06% spread cost is 0.10% per round trip. At 250 round trips a year that is 25% of capital annually. A gross return of 30% becomes 5% net; a gross return of 20% becomes a loss. The gross number alone told you nothing.

Include the costs that only appear live: borrow fees on shorts, overnight financing on leverage, exchange and data fees, and the currency conversion on foreign positions. Each is small and they compound in the same direction.

Related: slippage-model, market-impact, turnover, commission-model

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