SPEC-EAV-001 v0.2 · Layer L3 Execution and verification
E-04 Inclusion of trading costs
E-04 tests whether commission and swap were included in the reported result. The presence and distribution of those fields are examined to determine whether the equity curve was drawn from gross or net profit.
What it examines
The commission and swap fields, and the basis on which the equity curve was drawn.
How it is computed
Check the presence and value distribution of commission and swap. Determine whether the equity curve corresponds to gross or net profit.
What a defect means
A backtest that omits costs reverses the result entirely in a high-frequency system.
Judgment states
| Pass | The structure is observed and meets the threshold. |
|---|---|
| Caution | The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside. |
| Defect | The structure is not observed, or clearly falls outside the threshold. |
| Not judgeable | The required input data is absent. Marked distinctly from a pass. |
Threshold
Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.
Basis
Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).
Questions this item answers
- Does my backtest include commission and swap?
- How much do trading costs change a high-frequency backtest?
Related items
Related terminology
Revision · SPEC-EAV-001 v0.2 · 2026-08-21