transaction-cost-modeling

What problem does it solve?

This skill prevents unrealistic transaction-cost assumptions from fabricating small-cap backtest profits, especially when slippage, commission, borrow APR, locate failures, bid-ask spread, or fees are set near zero.

Core Features & Use Cases

• Realistic friction floors by universe: Enforces minimum credible slippage per side and spread-driven round-trip costs for mega-, mid-, small-, and micro/penny caps.
• Short-side realism checks: Flags borrow APR defaults that ignore hard-to-borrow risk and treats locate failure as a binary “trade doesn’t happen” event instead of slippage.
• Backtest bug detection for common modeling errors: Catches constant-fraction slippage, constant borrow rates, PFOF/“free commission” treated as zero, and market-impact models applied to retail-size orders.

Quick Start

Ask the AI to review your backtest configuration and flag any transaction-cost parameters below the credible floors for your universe and side, including borrow and locate modeling assumptions.