Modeling Stock Commissions and Minimum Stamp Duty in Backtests

Summary

A VeighNa forum question asks how stock transaction costs are represented in backtests when sell-side stamp duty has a minimum charge. The question distinguishes commissions charged on both buys and sells from stamp duty charged only on sales, and asks whether a total fee below the minimum is raised to that minimum by the simulator.

The poster proposes combining buy and sell rates into a single fee rate, including stamp duty in the sell-side rate, then averaging across the two sides. The response points to VeighNa's CTA backtesting documentation but does not answer the minimum-fee question or validate the proposed calculation. As a result, the thread identifies an important modeling issue—side-specific costs and minimum charges—but leaves the correct configuration unresolved. Backtest users should consult the relevant simulator documentation or code before relying on the proposed averaged rate.

Key ideas

• The question concerns whether stock backtests enforce a minimum stamp duty when the calculated amount is lower.
• The poster notes that commissions apply on both sides while stamp duty applies only to sales.
• The proposed approach averages a combined buy and sell fee rate, but the thread does not confirm that method.
• The reply directs readers to VeighNa CTA backtesting documentation without providing a substantive answer.

Tags

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