execution-model

What problem does it solve?

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.

Core Features & Use Cases

• Customizable slippage models: Choose between fixed basis-point adjustments, linear impact tied to ADV, or square-root impact with volatility to capture different market regimes across China A-shares, Hong Kong, US, and crypto.
• Execution algorithm simulation: Simulate VWAP/TWAP slicing, participation-rate constraints, and delayed signals (T+1 rules for China A) to project how the order would actually fill.
• Cost and sensitivity analysis: Break down explicit and implicit costs, compare annualized drag under varied slippage settings, and use that output to decide whether your rebalancing frequency or trade size is sustainable.

Quick Start

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.