Costs, Slippage & Realism
Small costs add up fast in an active system, and hidden biases can flatter a backtest. Here is how trading costs changed our 200-day results, and the realism checks every test needs.
Costs compound
| Cost per switch | $1 grew to | Yearly return | Worst drop |
|---|---|---|---|
| 0% | $3.32 | 6.4% | −21.0% |
| 0.05% | $3.11 | 6.0% | −21.9% |
| 0.10% | $2.93 | 5.7% | −22.8% |
| 0.25% | $2.42 | 4.7% | −25.6% |
| 0.50% | $1.77 | 3.0% | −29.9% |
Our backtest of the SPY 200-day rule, March 2007 to Sept. 2026, with 125 switches. Past performance does not predict future results.
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