Backtest Slippage, Stamp Duty, and Weekly Bar Aggregation

Summary

This Chinese-language forum exchange discusses transaction costs and bar frequency in an event-driven backtesting platform. A respondent says that sell-side stamp duty can be represented as an added transaction fee, while the platform’s built-in frequencies are daily, minute, and tick. For other frequencies, such as weekly or monthly, the user needs to aggregate bars themselves. The question also asks about slippage, but the replies shown do not provide a specific setting or implementation for it.

The explanation of weekly aggregation starts with daily bars collected in a container. Once a week of observations is available, the weekly open comes from the first daily bar and the weekly close from the last; the high, low, and volume are combined in the corresponding way. This outlines the basic construction method, but leaves details such as calendar boundaries, missing sessions, and exact volume handling unspecified. It is platform-specific guidance rather than a general backtesting specification.

Key ideas

• The exchange describes daily, minute, and tick as the platform’s built-in backtest frequencies.
• Weekly or monthly bars must be constructed from lower-frequency observations according to the reply.
• A weekly bar’s open and close come from the first and last daily bars in the aggregation period.
• High, low, and volume are combined from the daily observations to form the larger bar.
• The replies mention stamp duty as an added sell-side fee but do not explain a slippage setting.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.