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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

funding-carry-analysis

DavidAyusoPita / funding-carry-analysis

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

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