Fair for anything above small size. Below a certain notional the assumption is not crazy, and the honest fix is to state the size at which your results stop holding rather than pretend impact does not exist at all. Most people just never state it.

而且回测里没人会撤单 真实盘口一动 挂着的量先跑一半

the one that got me was assuming my limit order sat at the front of the queue. in reality i was behind everything and only ever got filled on the occasions i really did not want to be 🙃

thats adverse selection. you get the fill precisely when the other side knows something you dont