What you will learn
- Spread
- Fees
- Slippage
- Intrabar ambiguity
Spread
A fill assumption must specify quote side, timing and available price. A signal at a closing price may only permit an order after that close. Entering at a price that disappeared before the decision creates an unrealistic result.
Fees
Model spread, commission, financing and slippage where relevant. Distinguish costs reflected in fill prices from separately charged amounts. Apply the same conventions to winners, losers and the baseline.
Slippage
OHLC bars do not always reveal whether a stop or target occurred first. Mark ambiguous cases and use a documented conservative assumption or finer data. Choosing the favorable sequence every time introduces bias.
Intrabar ambiguity
Capacity and order size affect execution. A small hypothetical order's fill assumption may not scale to a large order. Where volume or queue information is unavailable, state the limitation rather than claiming a precise executable result.
Worked example
A bar's high reaches the target and its low reaches the stop, but the intrabar sequence is unknown. Recording the target first solely because it produces a win manufactures favorable information.
Try it yourself
Describe two defensible treatments of this ambiguous bar and explain why the chosen treatment must be consistent.
Show the worked solution
Use finer timestamped data where available, or apply a predefined conservative rule and report the count of ambiguous cases. Consistency prevents outcome-driven selection; neither approach should conceal remaining uncertainty.
Apply this to your course project
Submit a rulebook, chronological trade sample and unseen validation results.
Keep the calculation inputs, assumptions and decisions with your work. Practical exercises are self-reviewed; the scored knowledge checks assess the questions shown, not an independent certification of practical competence.