Lesson
Fees
By Thomas Jamais (Backtestd) · Published · Updated
In short
18% of our fast, 15-minute strategies made money. Then we added fees. 4%.
The faster you trade, the more fees you pay per unit of risk. On daily candles, 59% of versions survived fees. On 15-minute candles, 4%.
Before you look for an edge, count what each trade costs.
The numbers
| Group | Value |
|---|---|
| 15m | 4% |
| 1h | 48% |
| 4h | 50% |
| 1d | 59% |
How we measured it
Every number comes from the lab's database: 19905 strategy versions with at least 100 trades each, tested on crypto perpetual futures from 2022 to 2025 with fees, slippage and funding. One version = one strategy with one set of settings. Results are in R (the amount risked per trade).
What to do instead
- Hold trades longer: on daily candles fees are a small share of the risk.
- Trade the most liquid markets: spreads and slippage are lower.
- Use limit orders when your strategy allows it (maker fees are lower).
Verify it yourself
- Write the rule exactly (below: our specification and every setting we tried).
- Get free data: Binance's public archive (data.binance.vision) has years of candles; OKX and most exchanges offer an API.
- Include costs: fees on both sides, slippage, and funding for perpetual futures.
- Count results in R (risk per trade), not in %, and look at the typical version, not the best one.
- Split your data in two and keep a part you never look at until the end.
- Compare with simply holding the market over the same days.
Disclaimer
Educational content based on historical backtests. Not financial advice. Past results do not predict future results. Trading leveraged products can lose more than you invest.