QuantProp. Analyze a trade file ↗
methodology / article

A gross return is
not money earned.

Costs should be a model input, a stress scenario and a field measurement.

QUANTPROP EDITORIAL  /  UPDATED 2026-10-27  /  EDUCATIONAL

Three different quantities

A quoted fee schedule, a simulated adverse fill and an observed execution are different evidence. Keep them separate in the report. Zero-cost results can diagnose a mechanism but cannot establish an executable business case.

Avoid a convenient unit mistake

One basis point is 0.01 percent. A per-side rate is charged at both entry and exit; a round-trip rate is already combined. Taxes may apply only on a sale, and futures funding depends on holding time rather than just entry count.

Stress the right mechanism

Increase slippage independently of fees and track turnover. A slower strategy may tolerate the same nominal fee better because its expected holding-period move is larger. Test this mechanically rather than selecting the most flattering total return.