Quantify execution slippage and cost drag in backtest simulations.
npx skills add https://github.com/HKUDS/Vibe-Trading --skill execution-model
Please help me install this Agent Skill. Skill: execution-model Source: https://github.com/HKUDS/Vibe-Trading/tree/main/agent/src/skills/execution-model Command: npx skills add https://github.com/HKUDS/Vibe-Trading --skill execution-model
Backtests that ignore slippage, execution delay, and transaction costs report falsely optimistic performance, so the execution-model skill brings nuanced cost assumptions into simulations to highlight real-world liquidity and impact risks.
Ask the execution-model skill to simulate slippage, VWAP slicing, and cost drag for a large China A-share backtest using the supplied ADV, volatility, and commission settings.
High-intent search queries and answers about installing and using this skill.
To model slippage and market impact in backtests, you can apply fixed basis-point adjustments, linear impact tied to ADV, or square-root impact with volatility to capture realistic execution costs across China A-shares, Hong Kong, US, and crypto markets.
Backtests without transaction costs show over-optimistic performance because they ignore execution slippage, delay, and market impact, falsely inflating returns; adding nuanced cost assumptions simulates real-world liquidity risks and corrects these projections.
Yes, you can simulate VWAP and TWAP execution algorithms for crypto and equity markets by configuring participation-rate constraints, delayed signals like T+1 rules for China A, and volume filters to project realistic order fills.
The best way to analyze transaction cost drag is to compare annualized drag under varied slippage settings, breaking down explicit and implicit costs to determine if your rebalancing frequency or trade size remains sustainable.
Yes, execution modeling supports T+1 delay rules for China A-share backtests by simulating delayed signals and participation-rate constraints, ensuring order fills accurately reflect local market regulations and execution realities.
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