How Execution Assumptions Change Short-Horizon Sharpe Rankings: Evidence from a Synthetic Trading Benchmark
Backtests of LLM trading agents often assume that every order fills at the closing price. We ask whether this choice changes only reported returns or also the order of the agents. Five prompted LLM signal policies and seven classical baselines trade the same synthetic price paths under six execution settings, from near-ideal fills to latency, spread, participation, and impact stresses. The main experiment contains $2{,}462$ runs with matched decision frequencies and paired market paths. On the compressed two-asset board, agreement between the near-ideal and default-stress rankings falls to Kendall $τ_b=0.21$ in the high-volatility regime, compared with $0.82$ in the calm regime. The seed-...
| Authors | Weicheng Xue |
|---|---|
| Primary category | cs.LG |
| Published | 4 October 2026 |
| Last updated at source | 4 October 2026 |
Popularity, last 2 days
0 now. Counts as reported by the source, snapshotted daily by Silytics.
Silytics shows public metadata from arXiv and links to the original. Information may be incomplete or out of date. Last refreshed 17 October 2026. Licenses and terms of the original apply to the work itself. Not financial, legal or professional advice.