CryptoHacker Noonabout 3 hours ago
Backtest Costs That Kill Trading Strategies
3 min read
A backtest showing 240% annual returns lost money live due to slippage and fees. Slippage averages 0.05% to 0.30% per trade on major crypto pairs, with taker fees around 0.10%. Adding realistic cost assumptions drops reported returns 30% to 50%. A study of 1,243 trading-forum posts found 57% of backtest-to-live failures traced to poorly modeled slippage.
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