AUD
Audacy, Inc.
stock NYSE

I have a AUD CAD short open so I am hoping you are wrong.

Completely agree. Flat 10 bps slippage in backtests is pure fantasy, especially in thin micro-caps where execution costs eat strategies alive.
To handle that, we run out-of-sample predictions through a friction simulator across an AUM capacity grid (100k to 100m AUD):
1. Market Impact: Order size is penalized non-linearly using a square-root impact model scaled against the stock's 20-day average daily volume (ADV) and volatility.
2. Bid-Ask Spreads: We estimate stock-specific spreads using Roll's estimator from daily price variance, plus baseline execution delay and broker commissions.
3. ADV Caps: Trades are capped at a maximum percentage share of 20-day ADV. Over-sized orders aren't filled at phantom prices; unfillable portions log as unmet demand.
4. Execution Horizon: We trade multi-day swing horizons (1 to 10 days) rebalanced daily, using a 40-day temporal embargo between folds to prevent overlap leakage.
The goal isn't just gross Sharpe, but finding the exact net return curve across AUM levels to pinpoint where market friction degrades the edge to zero.

Thank you this is truly excellent feedback, I really appreciate your insights!
Full disclaimer below is an AI generated reply, but I personally thank you for your insights .
I'm also expanding it into a financial intelligence factory,
**1. Holdout Discipline:**
100% agreed. The 2025–2026 holdout dataset is completely isolated in cold storage and will only be evaluated during the final automated confirmation pass after the cluster run. Zero peeking, zero re-tuning. 
**2. Derived Signal Licensing:**
Spot-on point regarding raw data vs. derived signals. We are actively confirming with legal/vendor reps whether distributing normalized, transformed signal scores/predictions falls under a different redistribution license class than raw market data delivery. 
**3. Strategy Turnover & Holding Horizons:**
Our target horizons are daily/multi-day swing allocations across L1–L7 horizons (1 to 10 trading days). Because we rebalance daily rather than running sub-second intraday execution, turnover is kept at a moderate, manageable pace.
**4. Friction Decay & Capacity Grid:**
ASX liquidity—especially in micro-caps (U3)—is thin, which is exactly why flat 10 bps slippage models fail. The capital simulation grid evaluates frozen predictions by applying: 
Stock-specific **Roll bid-ask spread** floors. 
**Square-root market impact** penalties scaled dynamically against 20-day ADV. 
Strict per-stock **ADV volume caps**. 
The primary output we are pulling from tomorrow night's run is the **Net Lower-Bound Return curve across AUD** 100\\text{k} **to** \\$100\\text{m} **AUM** to pinpoint the exact capacity ceiling where friction degrades net returns. 
**5. Forward Track Record:**
Agreed on live/forward track records over backtests. To build that before raising capital, we run a daily pipeline that cryptographically signs and hashes predictions before market open. It creates an auditable, timestamped out-of-sample paper track record. 
https://preview.redd.it/6aaorvn57wsh1.png?width=2048&format=png&auto=webp&s=537fec933b13c1f6a5d637b6b22cb6e790f488d5

I have a AUD CAD short open so I am hoping you are wrong.

Completely agree. Flat 10 bps slippage in backtests is pure fantasy, especially in thin micro-caps where execution costs eat strategies alive.
To handle that, we run out-of-sample predictions through a friction simulator across an AUM capacity grid (100k to 100m AUD):
1. Market Impact: Order size is penalized non-linearly using a square-root impact model scaled against the stock's 20-day average daily volume (ADV) and volatility.
2. Bid-Ask Spreads: We estimate stock-specific spreads using Roll's estimator from daily price variance, plus baseline execution delay and broker commissions.
3. ADV Caps: Trades are capped at a maximum percentage share of 20-day ADV. Over-sized orders aren't filled at phantom prices; unfillable portions log as unmet demand.
4. Execution Horizon: We trade multi-day swing horizons (1 to 10 days) rebalanced daily, using a 40-day temporal embargo between folds to prevent overlap leakage.
The goal isn't just gross Sharpe, but finding the exact net return curve across AUM levels to pinpoint where market friction degrades the edge to zero.

Thank you this is truly excellent feedback, I really appreciate your insights!
Full disclaimer below is an AI generated reply, but I personally thank you for your insights .
I'm also expanding it into a financial intelligence factory,
**1. Holdout Discipline:**
100% agreed. The 2025–2026 holdout dataset is completely isolated in cold storage and will only be evaluated during the final automated confirmation pass after the cluster run. Zero peeking, zero re-tuning. 
**2. Derived Signal Licensing:**
Spot-on point regarding raw data vs. derived signals. We are actively confirming with legal/vendor reps whether distributing normalized, transformed signal scores/predictions falls under a different redistribution license class than raw market data delivery. 
**3. Strategy Turnover & Holding Horizons:**
Our target horizons are daily/multi-day swing allocations across L1–L7 horizons (1 to 10 trading days). Because we rebalance daily rather than running sub-second intraday execution, turnover is kept at a moderate, manageable pace.
**4. Friction Decay & Capacity Grid:**
ASX liquidity—especially in micro-caps (U3)—is thin, which is exactly why flat 10 bps slippage models fail. The capital simulation grid evaluates frozen predictions by applying: 
Stock-specific **Roll bid-ask spread** floors. 
**Square-root market impact** penalties scaled dynamically against 20-day ADV. 
Strict per-stock **ADV volume caps**. 
The primary output we are pulling from tomorrow night's run is the **Net Lower-Bound Return curve across AUD** 100\\text{k} **to** \\$100\\text{m} **AUM** to pinpoint the exact capacity ceiling where friction degrades net returns. 
**5. Forward Track Record:**
Agreed on live/forward track records over backtests. To build that before raising capital, we run a daily pipeline that cryptographically signs and hashes predictions before market open. It creates an auditable, timestamped out-of-sample paper track record. 
https://preview.redd.it/6aaorvn57wsh1.png?width=2048&format=png&auto=webp&s=537fec933b13c1f6a5d637b6b22cb6e790f488d5

Gotta remember they are paying something like $900mAUD + Capex of $500mUSD so they think they will make money after spending $1.7B AUD