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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: 0.043R. edge does NOT survive costs
Avg R/Trade
-0.20 → -0.25
Total R
-18.8 → -22.8
Profit Factor
0.737 → 0.696
Win Rate
16.3% → 16.3%
Final Balance ($1,000 start)
$810 → $779
Strategy B
Avg cost per trade: 0.036R. edge does NOT survive costs
Avg R/Trade
-0.07 → -0.11
Total R
-4.2 → -6.3
Profit Factor
0.918 → 0.882
Win Rate
8.62% → 8.62%
Final Balance ($1,000 start)
$924 → $905
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 -21.1% after costs, Strategy B's by -49.8%. 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.