Changing Commission Rates During Long Historical Backtests

Summary

This community post raises a practical issue in historical strategy testing: commission rates may change over long periods, so applying one rate throughout a backtest can misrepresent trading costs. The author says the platform’s commission-setting function can only be called during initialization, when the simulated trading date is not available. They ask whether commission settings could be changed later, such as before each trading session, to make date-dependent costs easier to model.

The post presents a platform limitation and a proposed API capability, rather than a tested workaround or a completed implementation. It offers no examples of changing fee schedules, no platform response, and no measurements of how much performance estimates might differ. Its useful takeaway is to treat historical fee schedules as a backtesting concern and check whether the simulator allows costs to vary with time; the described discussion alone does not establish that the requested feature exists.

Key ideas

• Long historical backtests may need commission rates that vary over time.
• The author reports that the platform’s commission-setting function is restricted to initialization.
• The post proposes allowing commission adjustments before individual trading sessions.
• No workaround, platform response, or empirical comparison is provided.

Tags

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