Sequential transaction-cost accounting

Question

Implement a one-asset net-return series from realised returns and position weights fixed before each return. Use a fixed proportional cost per unit of absolute turnover, with initial position zero.

Short answer

At time t, gross return is the precommitted weight times realised return. Turnover is the absolute change from the prior weight, including the first trade from zero. This simplified model excludes spread variation, impact, borrowing, financing and terminal liquidation.

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Lessons behind this question

The Supervised Learning Problem and the ML Pipeline
Series and the Geometric Series: Partial Sums and Convergence
Sample Spaces, Events, and the Probability Axioms

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