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The Fill Model Is Where Backtests Quietly Cheat

Every backtest has to answer a boring question: when the strategy says "buy," what price does it actually get? Most backtesting frameworks answer this question badly by default, and the badness is…

  • Assuming mid-price fills ignores real trading costs like spread
  • Ignoring slippage overlooks market reaction to trades
  • Omitting commissions underestimates impact of trading costs

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