Commission, Stamp Tax, and Slippage in Equity Simulations

Summary

The post asks whether a backtesting or simulation setup's commission setting includes the stamp tax charged on stock sales in mainland China. The author says that, for frequent portfolio turnover, this tax could materially reduce estimated returns compared with broker fees, but the post gives no confirmed tax calculation or answer. It also asks whether the framework's commission and volume-share slippage settings should affect simulated trades.

The author reports seeing no difference between simulations with and without those settings, even after raising the commission substantially and moving the settings to the start of initialization. This is a reported observation rather than a verified diagnosis. The document offers no resolution, so it does not establish whether the cause lies in configuration, simulation behavior, or some other factor; it highlights the need to verify cost handling before relying on simulated returns.

Key ideas

• The author asks whether configured commission includes the stamp tax on stock sales.
• Frequent turnover can make omitted transaction taxes important to estimated strategy returns.
• The post reports no visible simulation difference after changing commission and slippage settings.
• It provides a problem report but no confirmed cause or resolution.

Tags

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