HOW I TESTED IT
I stopped assuming what trading costs and measured it: 48 controlled round trips, entering and exiting immediately, recording the actual fill against the reference price.
Fee was constant at 0.04% per side. Slippage was not - ETH filled at essentially zero, while DOGE cost 50 to 100 basis points per round trip.
On a 150 USDT position, a round trip costs 0.36 USDT before the market moves at all.
THE NUMBERS
Taker fee, both sides: 0.080%
Slippage, both sides: 0.160%
Cheapest symbol (ETH): 0.10bps
Worst symbol (DOGE): 50-100bps
Any strategy must clear 0.240% of position size per trade just to break even. Most published setups never mention this number, which is why most published setups lose money.
Part of a public experiment: 5,063 USDT to 1,000,000 USDT, every result published - including the ones that make me look bad.
Run on $ETH $DOGE
#Binance #Futures #Backtesting #TradingBot #CryptoData
I stopped assuming what trading costs and measured it: 48 controlled round trips, entering and exiting immediately, recording the actual fill against the reference price.
Fee was constant at 0.04% per side. Slippage was not - ETH filled at essentially zero, while DOGE cost 50 to 100 basis points per round trip.
On a 150 USDT position, a round trip costs 0.36 USDT before the market moves at all.
THE NUMBERS
Taker fee, both sides: 0.080%
Slippage, both sides: 0.160%
Cheapest symbol (ETH): 0.10bps
Worst symbol (DOGE): 50-100bps
Any strategy must clear 0.240% of position size per trade just to break even. Most published setups never mention this number, which is why most published setups lose money.
Part of a public experiment: 5,063 USDT to 1,000,000 USDT, every result published - including the ones that make me look bad.
Run on $ETH $DOGE
#Binance #Futures #Backtesting #TradingBot #CryptoData