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AdvancedStock Alerts + Tools0:47Quant

The Line That Kills Most Strategies

Modelling costs properly is what separates a backtest from a plan, and impact grows faster than order size.

0:47 · 6 scenes

This lesson is part of a Stock Alerts + Tools plan.

What the lesson covers

  1. 0:00Most strategies that fail were profitable before costs were subtracted.
  2. 0:05The components. Commission is fixed, spread is roughly fixed, and impact grows with your size.
  3. 0:15Why impact is the dangerous one. It grows roughly with the square root of size, so scaling up costs more than proportionally.
  4. 0:25The capacity limit. Every strategy has a size beyond which its own trading consumes the edge entirely.
  5. 0:34The honest test. Model costs at the size you would actually trade, not at one share.
  6. 0:42Find the size where the edge dies, then stay well under it.
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Educational content only. MadStockAlerts provides market commentary, research, and educational content. It is not personalized investment advice, and nothing here is a recommendation to buy or sell any security. Trading and investing involve substantial risk, including loss of capital. See the Risk Disclosure and Customer Agreement.
Educational content only. MadStockAlerts provides market commentary, research, and educational content. It is not personalized investment advice, and nothing here is a recommendation to buy or sell any security. Trading and investing involve substantial risk, including loss of capital. See the Risk Disclosure and Customer Agreement.
The Line That Kills Most Strategies — MAD Academy Training Video · MadStockAlerts