depending on the strategy, its possible to build reasonable simulations of the affect your trades will have on the market, though the data you need to do so is

depending on the strategy, its possible to build reasonable simulations of the affect your trades will have on the market, though the data you need to do so is harder to get and a lot more expensive. but for a strategy like the one described it'd be reasonable to take the existing market and assume that you could pay offers, hit bids, and maybe build in a little slippage to get a reasonable simulation. academics though, typically don't care as much about simulating for transaction costs because they're more interested in perceived mispricing in the marketplace as an interesting economic/intellectual phenomenae. Frequently academic papers will assume a 1-price world where the 1-price is midmarket and build the model off that. If the market were indeed entirely efficient, then the described trade wouldn't be better than chance even with no transaction costs or bid-ask.