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12
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615 views
How to account for transaction costs in a simulated market environment?
I am simulating a market for my trading system. I have no ask-bid prices in my dataset and use adjusted close for both buy and sell price. To account for this I plan to use a relative transaction ...
5
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4answers
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How should I include the bid-ask spread as a transaction cost in a backtest?
I have two backtesting algorithms:
One that uses bid and ask prices for signal generation. For example: Buy when $ask < threshold_1 $ and sell when $bid > threshold_2$. Bid and ask prices are ...
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0answers
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Evidence of long run manipulation by a large player?
Clearly, it doesn't even take a large player in terms of percentage of total inventory relative to total underlying as in the case of the flash crash to push around a market in the short run, but I ...
