Cost realism

When does gross profit become a net loss?

Costs hit every trade and cut your edge one-for-one. Enter your gross numbers and your costs to see your net expectancy, the break-even win rate costs force on you, and the exact cost level where a winning strategy dies.

Gross vs cost

inputs

1Gross performance unit

Win rate (%)

Avg win (gross)

Avg loss (gross, +)

2Cost per trade (round-trip)

Spread

Commission

Slippage

Enter every value in the same unit chosen above. For positions held overnight, add swap/financing to one of these.

3Volume

Trades per year

Net of costs

awaiting input

Enter your gross performance and costs, then calculate to see whether the edge survives once costs are paid.

The most underestimated line in every backtest

It is easy to obsess over indicators and entry rules and forget the one input that quietly decides whether any of it works: cost. Spread, commission and slippage are paid on every single trade, win or lose, so they subtract from your edge directly — your net expectancy is simply your gross expectancy minus your cost per trade. When the gross edge is thin and the trade count is high, costs can flip a clearly profitable backtest into a steady net loss without changing a single rule.

That is why this calculator reports the death point — the cost level at which net expectancy hits zero — and the break-even win rate costs push you toward. A strategy that needs a 50% win rate gross might need 62% net. If you are not clearing that, the backtest was measuring a cost assumption, not an edge. This is covered in depth, with a real example, in the overfitting guide.

Questions

Why does a profitable backtest become a net loss?

Costs apply to every trade and reduce expectancy one-for-one. If your gross edge per trade is smaller than your round-trip cost per trade, net expectancy is negative even though the gross result looked good. High-frequency strategies suffer most because they pay the cost more often.

What counts as a transaction cost?

Round-trip spread, broker commission, and slippage between intended and filled price. Positions held overnight also pay financing or swap. This tool combines spread, commission and slippage; add swap separately if you hold overnight.

What is the break-even win rate?

The win rate at which net expectancy is exactly zero, given your average win, average loss and cost per trade. Costs raise the win rate you need; if your actual rate is below it, you lose money net of costs.

Which unit should I use?

Whatever you think in — pips for forex, currency for futures or stocks, or R (multiples of risk). Just keep every input in the same unit; the math is identical regardless.