Research → Quantitative Methods
Why Execution Assumptions Distort Backtests
Quantifying the gap between simulated and realized fill quality
Blackmark Dominion Research Inc. · February 24, 2026 · 14 min read
Every backtest makes assumptions about how orders are filled. The most common assumption — filling at the closing price or mid-quote at signal generation time — is also the most dangerous. It systematically overstates achievable returns and understates risk.
Measuring the Gap
We construct a dataset of 2,400+ strategy-months across equities, commodity futures, and G10 FX, comparing backtest P&L under standard assumptions against realized execution logs.
The gap is substantial:
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