Market Universe to Transaction Costs: Key Parameters for Precision Back-Testing

Market Universe

To construct an accurate back-test, please specify whether the market universe includes all U.S. listed common stocks, a specific exchange (e.g., NYSE + NASDAQ), or another market. This will determine the scope of data aggregation and screening.

Benchmark Ticker or Composite Index

The back-testing tool currently supports single tickers or predefined composites. For a broad U.S. equity benchmark, SPY or VTI are standard choices. If you prefer a custom composite (e.g., equal-weighted small-cap or sector-specific), please provide details.

Trade Price Convention

Confirm whether the strategy should use:
- Close-to-close: Enter at today’s close, exit at tomorrow’s close (default).
- Close-to-open: Enter at today’s close, exit at tomorrow’s open (may reflect overnight gaps).

Transaction Cost Assumptions

If applicable, provide per-trade commission and slippage estimates (e.g., $1.00 per trade + 0.1% slippage). If unspecified, I will assume zero costs for simplicity.

Summary of Requirements

1. Define the market universe (all U.S. stocks, specific exchanges, or other).
2. Confirm the benchmark ticker/composite (e.g., SPY, VTI, or custom).
3. Specify trade price convention (close-to-close or close-to-open).
4. Provide transaction cost details (or confirm zero).

Once these parameters are finalized, the back-test will run from 2022-01-03 (first trading day of 2022) to today, ensuring alignment with historical data availability. Please respond with your preferences for each category to proceed.