Quantitative Research Note2026Canonical long-form →

Backtest Engine + Cost Model

High-turnover signal wins gross (0.20 > 0.13) but loses net of cost : break-even 20 bps.

Quantitative ResearchPublished Thu May 28 2026 00:00:00 GMT+0000 (Coordinated Universal Time)

EVAL-FIRST31 GATESNDA-CLEANPUBLIC DATAALPHASIGNAL > NOISEREPRODUCIBLENOTEBOOK-COMMITTEDCITABLEBIBTEX + DOI

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@techreport{macion2026quant08backtestenginecosts,
  author       = {Macion, Christian T.},
  title        = {Backtest Engine + Cost Model},
  institution  = {Independent research},
  year         = {2026},
  date         = {2026-05-28},
  note         = {Public-data reproducible. Canonical long-form: https://christianmacion-portfolio.pages.dev/projects/quant/08-backtest-engine-costs/},
  url          = {https://christianmacion-portfolio.pages.dev/projects/quant/08-backtest-engine-costs/}
}

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