Commissions, Slippage & Leverage
Commissions, Slippage & Leverage
Configure trading costs and leverage to make your backtest results as realistic as possible. Accurate cost modeling is essential for reliable strategy evaluation.
Exchange Presets
StratBase.ai includes pre-configured commission rates for major exchanges:
| Preset | Maker | Taker | Type | |--------|-------|-------|------| | Binance Spot | 0.10% | 0.10% | Crypto | | Binance Futures | 0.02% | 0.04% | Crypto | | Bybit Spot | 0.10% | 0.10% | Crypto | | Bybit Perpetual | 0.02% | 0.055% | Crypto | | NYSE | $0.005/share | $0.005/share | Stocks | | NASDAQ | $0.005/share | $0.005/share | Stocks | | Forex | 0.003% | 0.003% | Forex | | Custom | User-defined | User-defined | Any |
Select a preset, and the commission rates are automatically applied. Use Custom to enter your own rates.
Commission Types
Percentage-Based (Crypto, Forex)
Commission = Trade Value × Commission Rate
Example: Buy $10,000 BTC at 0.10% = $10 commission per side.
Per-Share (Stocks)
Commission = Number of Shares × Per-Share Fee
Example: Buy 100 shares at $0.005/share = $0.50 commission per side.
US Stocks Cost Model
US stocks use a realistic multi-component cost model:
| Component | Description | |-----------|-------------| | Broker commission | $0 (zero-commission via Alpaca/IEX) | | SEC fee | Regulatory fee on sell orders (~$22.90 per $1M) | | FINRA TAF | Trading Activity Fee (~$0.000119 per share) | | Slippage | Per-ticker estimate based on typical spread | | Short borrow rate | Annual rate for short positions (varies by ticker) | | Margin interest | Annual rate on leveraged positions |
When you select a US Stocks instrument, these costs are automatically applied based on the specific ticker's characteristics.
Slippage
Slippage accounts for the difference between expected and actual execution price. In backtesting, a slippage value simulates realistic execution:
| Setting | Description | |---------|-------------| | Slippage % | Applied to each trade entry and exit |
Example: 0.05% slippage on a $100 entry → actual entry at $100.05 (long) or $99.95 (short).
Tip: Typical slippage values: 0.01-0.05% for liquid crypto, 0.05-0.1% for smaller altcoins, 0.01% for major forex pairs, nearly 0% for large-cap stocks during market hours.
Leverage
Leverage multiplies your position size relative to the capital allocated.
| Setting | Description | |---------|-------------| | Leverage | 1× to 125× |
How Leverage Affects Results
- Position size = Allocated Capital × Leverage
- Returns are amplified proportionally
- Losses are amplified proportionally
- Liquidation risk increases with higher leverage
Leverage Examples
| Capital | Leverage | Position | Price +5% | P&L | |---------|---------|----------|-----------|-----| | $1,000 | 1× | $1,000 | +5% | +$50 | | $1,000 | 5× | $5,000 | +5% | +$250 | | $1,000 | 10× | $10,000 | +5% | +$500 | | $1,000 | 20× | $20,000 | +5% | +$1,000 |
Leverage Availability
| Market | Max Leverage | |--------|-------------| | Crypto Spot | 1× (no leverage) | | Crypto Futures | Up to 125× | | Forex | Up to 100× | | US Stocks | Up to 4× |
Tip: Higher leverage amplifies both profits and losses. A 10× leveraged position needs only a 10% adverse move for a 100% loss (liquidation). Start with low leverage (2-5×) until your strategy is proven.
Impact on Backtest Results
Costs significantly affect strategy performance:
| Strategy | No Costs | With Costs | |----------|----------|-----------| | 100 trades, 1% avg profit | +100% | +80% (after 0.1% commission each side) | | 500 trades, 0.3% avg profit | +150% | +0% (commissions eat all profit) |
High-frequency strategies (many trades, small profits) are most affected by costs. Always run backtests with realistic commissions.
FAQ
Q: Should I always include commissions? A: Yes. Backtests without commissions give unrealistically optimistic results. Even small commissions compound over many trades.
Q: What commission should I use for a custom exchange? A: Check the exchange's fee schedule. Most crypto exchanges charge 0.04-0.10% per side for spot trading.
Q: Does leverage affect commission calculations? A: Yes. Commission is calculated on the full position size (after leverage), not just the allocated capital.