Transaction Fees
Performance must account for transaction fees to be realistic. Omitting fees can produce backtest results that cannot be replicated live. Taker fees usually overwhelm the edge of short-horizon hourly strategies. Strategy capacity is limite…
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Performance must account for transaction fees to be realistic. Omitting fees can produce backtest results that cannot be replicated live. Taker fees usually overwhelm the edge of short-horizon hourly strategies. Strategy capacity is limited because large orders can move the market and erode edge. Maker rebates can make the model viable if the strategy can execute as a maker.