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Trading Costs: Gross vs. Net
Every result shown elsewhere on this site is GROSS — zero spread, zero commission, zero slippage. This page applies a realistic broker cost model to every trade. Assumptions, from S&P 500 (US 500)'s cost basis (Vantage FX Raw ECN — spread-only on indices, 2026 published rate ranges): spread $0.6/index pt, commission $0/index pt round-turn, and an estimated $0.5/index pt slippage — BOS/CHoCH entries and stop-outs both fire exactly when price is moving fast through a level, which is when slippage is worst; this is a working estimate, not a broker-quoted figure, and could be worse in a fast market. Total assumed round-trip cost: $1.1/index pt, converted to an R-multiple deduction using each trade's own risk (|entry − stop|) — the same normalization R itself already uses, so it applies consistently regardless of position size.
Strategy A
Avg cost per trade: 0.086R. edge does NOT survive costs
Avg R/Trade
+0.04 → -0.04
Total R
+53.4 → -50.0
Profit Factor
1.084 → 0.93
Win Rate
31.83% → 30.49%
Final Balance ($1,000 start)
$1,371 → $487
Strategy B
Avg cost per trade: 0.084R. edge does NOT survive costs
Avg R/Trade
-0.01 → -0.09
Total R
-4.3 → -71.7
Profit Factor
0.992 → 0.883
Win Rate
25.25% → 24.75%
Final Balance ($1,000 start)
$792 → $403
Read: at least one strategy does NOT survive this cost estimate — its apparent edge is an artifact of ignoring execution costs. Strategy A's total return is reduced by 193.7% after costs, Strategy B's by -1583.6%. Whichever strategy has the thinner gross avg R/trade (here, Strategy B) has the least margin to absorb execution costs before its edge becomes marginal — if real slippage runs meaningfully higher than assumed here, that strategy is the one to re-examine first.