Execution realism
A backtest here is never free: by default every fill is charged a 0.05% taker fee and 0.02% slippage, roughly what a crypto market order costs. A real account can pay more, through a wider spread, market impact, or a worse venue. For high frequency strategies, that friction is the whole game.
Every fill costs something
Fees are charged on entries and exits alike; slippage means you get a slightly worse price than the signal showed. The parse shows both assumptions next to the rules, and the trust strip under the result repeats which frictions the run was scored with, so a frictionless number can never pass as a real one.
Turnover multiplies the cost
A strategy that trades once a month barely notices fees. One that trades ten times a day pays that friction hundreds of times. The more a strategy trades, the more of its paper edge gets eaten, which is why many beautiful high frequency backtests are unprofitable live.
Stress it, then decide
Run this, then open Execution realism, raise the maker and taker fees, add a bid/ask spread, and run again. Watch the edge shrink. If a modest, realistic cost assumption erases the profit, the strategy was never real; it was living in the friction you forgot to charge.
Run it live
The strategy for this lesson, in plain English:
“Buy BTC when the 10 day moving average crosses above the 30 day, sell on the reverse cross, on 1D, last 3 years.”
It opens already parsed, so you can read the rules before you spend a run.
Key takeaway
Always stress test an edge with realistic fees and slippage before believing it. The strategies that survive higher costs are the ones worth trading.
Terms in this lesson
Check yourself