Document cost bps as one-way per-trade, not round-trip
The simulator charges (cost_bps + slippage_bps) on each fill, so a full round trip is charged twice. Correct the cost-model doc, the reversal_5d report, and the report generator to state the rate is one-way per-trade (~20 bps round trip for 5+5), rather than mislabeling it round-trip. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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@@ -30,8 +30,9 @@ costless research cumulative return at Sharpe
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54.31% daily hit rate.
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The binding constraint is **cost, not signal**: at ~148×/year
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turnover, a 10 bps round-trip (5 bps commission + 5 bps slippage) erases the
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edge — every variant is negative after costs. A tradable 5-day reversal needs
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turnover, a 10 bps one-way per-trade cost (5 bps commission + 5 bps slippage,
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charged on each leg — so ~20 bps per round trip) erases the edge — every variant
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is negative after costs. A tradable 5-day reversal needs
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turnover control, not a different signal.
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## Headline Metrics
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