execution-costs

Here are 2 public repositories matching this topic...

giovannibrusco / zarattini-2023-orb-qqq

Independent replication of the 5-minute Opening Range Breakout on QQQ (Zarattini & Aziz 2023, SSRN 4416622), stress-tested for execution costs. Break-even at ~2.2¢/share slippage; NQ confirmation filter significant per-trade (t=2.05) but 76% of its PnL is 2022 alone. Placebo control + bootstrap CIs.

python pandas sharpe-ratio quantitative-finance etf brokers backtesting overfitting statistical-significance qqq intraday-trading opening-range-breakout paper-replication nq-futures nasdaq-100 execution-costs

Updated Jul 27, 2026
Python

DavidAyusoPita / funding-carry-analysis

Star

How much of a delta-neutral funding-rate carry survives execution costs? Two years of public data across four perpetual venues.

python jupyter-notebook pandas data-analysis market-data quantitative-finance backtesting execution-costs

Updated Jul 30, 2026
Jupyter Notebook

Improve this page

Add a description, image, and links to the execution-costs topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the execution-costs topic, visit your repo's landing page and select "manage topics."

Learn more