Costs, turnover and execution

Turnover describes trading activity, but definitions differ. Gross turnover counting buys and sells, one-way turnover and changes in quantile membership measure different things. Check the denominator and aggregation window.

Costs include commissions, slippage between assumed and achieved prices, and market impact from orders. The reference course charges a 0.1% one-way fee but excludes slippage, market impact and board-lot constraints.

Do not deduct commissions twice from NAV that already includes fees. Orders, fills and completed position cycles are different counts. Sensitivity runs vary costs and execution timing to inspect dependence on assumptions.

Buying 100,000 and selling 100,000 against a reference NAV of 1,000,000 gives two-sided gross turnover of 20%. At a 0.1% one-way fee, each side costs 100, for 200 total. This illustrates the definition; inspect the denominator used by an actual report.

Execution, fills and skips

Creating an order does not guarantee a fill. When the next open leaves insufficient cash, this course skips the whole frozen order. Signal prices and actual fill prices are different.

Sensitivity analysis

Vary assumptions such as fees or execution delays and inspect the resulting changes. Raising fees from 0.1% to 0.2% and delaying fixed quantities by one observed session are distinct diagnostics. Sensitivity analysis is not a procedure for selecting only the best-looking outcome.

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