ml4t-transaction-costs skillA
ml4t-transaction-costs is agent-read markdown (skill) from ml4t/skills: Estimate whether a strategy can survive spread, slippage, and market impact before full simulation. Use when screening strategy feasibility early..
Indexed from public GitHub and served as immutable, content-addressed versions. Install it pinned to an exact SHA-256 with the mdr CLI, and every file is verified against the hash recorded here before it reaches your agent. The deterministic audit below grades the latest version, and the same file always earns the same grade.
What the file says
# Transaction Cost Feasibility Before you wire costs into a backtest engine, ask a simpler question: does the signal have enough gross edge to pay for trading at all? If not, the strategy should die early. ## The Problem The full cost of a trade has three layers: explicit costs (commissions, fees), implicit costs (half the bid-ask spread paid on every execution), and market impact (your own order moving the price against you). Most bad strategies fail this economic screen before any engine-specific implementation details matter. A strategy with 50 bps gross alpha and 30 bps round-trip costs has a safety margin of only 1.7x - too thin to survive estimation error. ## The Pattern ### WRONG ```python import numpy as np # Flat cost assumption - ignores volume dependence weights = compute_target_weights(signals) turnover = np.abs(weights - prev_weights).sum() costs = turnover * 0.001 # 10 bps flat - wrong for large trades net_return = gross_return - costs ``` ### CORRECT ```python import numpy as np weights = compute_target_weights(signals) turnover = np.abs(weights - prev_weights) # Volume-dependent square-root impact model …
Read the whole file at its exact version.
How to install
mdr add ml4t/skills/ml4t-transaction-costs@git:20260901.c415df0mdr add ml4t/skills/ml4t-transaction-costs@sha256:d05ca6174949ff57Pin to a label to follow the author's releases, or to a sha256 to freeze the exact bytes forever. Either way the resolved hash is written to mdr.lock, and mdr install reproduces it on any machine.
[](https://markdownregistry.com/a/art_rnuf2hloxiiaoltj)
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Versions
| version | committed | commit | size | audit | |
|---|---|---|---|---|---|
| git:20260901.c415df0 latest | 2026-09-01 | c415df0 | 4,108 B | A | view · diff |
| git:20260528.303089e | 2026-05-28 | 303089e | 4,118 B | A | view |
Audit of the latest version
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Source
ml4t/skills · 19 stars · license Apache-2.0 · pushed 2026-09-24 · branch main
API
GET https://markdownregistry.com/api/v1/artifacts/art_rnuf2hloxiiaoltj GET https://markdownregistry.com/api/v1/resolve?ref=ml4t/skills/ml4t-transaction-costs GET https://markdownregistry.com/api/v1/blob/d05ca6174949ff57f4bae3b99550a5a00c4a065c9946a9f1a34ca1898afe2c1c
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