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The specific procedure depends on details of the problem such as What is the objective function? Sharpe ratio? Terminal wealth? What is the model of transaction costs? What is the data resolution? (If it's very high the problem may become challenging computationally). There are many papers, e.g. this one, that solve various problems of this sort. These ...
you can smooth your data and then find the zeros of the slope of the smoothed data. You can adjust for the costs with the degree of smoothing.
I think what you're trying to do is to construct a portfolio from inside out, i.e. picking stocks based on idiosyncratic factors. I have never heard anyone (within the industry) succeed with this, and, to my knowledge, the literature in this direction is pretty slim. The main reason is that in finance, the Markowitz approach is dominant to this day. Put ...
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