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Questions tagged [implementation-shortfall]

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0
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1answer
166 views

Efficient way to short Tesla

I believe that at 45B$ Tesla is massively overpriced. The thing is that I don't know how long it will take it to trade on fundamentals, maybe a couple of years after launching model 3. So I want to ...
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4answers
4k views

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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3answers
2k 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 cost....