A strategy that makes 1 point per trade in a backtest may lose money in live trading, and costs are usually the reason. Many traders count only the broker commission and miss exchange fees, slippage and data charges. Add them all up and the break-even bar for your average trade moves.
Every dollar figure below is hypothetical, to show the method. Fees, margins and data prices change and differ by broker, product and account type, so replace each number with the current figure from your own documents.
The Components
- Broker commission. Charged per contract per side. A round trip means two sides.
- Exchange and regulatory fees. Charged per contract by the exchange and regulators, usually passed through even when the broker advertises low or zero commission. Find the current schedule on the exchange and broker fee pages.
- Slippage. The difference between the price you intended and your fill. It varies by time of day, order type and event risk.
- Platform and data. Monthly charges for the trading platform license, market data subscriptions, and any other tools. Professional versus non-professional data classification can change what you pay.
- Subscriptions. Anything else you pay monthly to trade, including education or signal memberships.
A Worked Hypothetical
Your next step
Check the math before you size up.
Use your recorded win rate, average win and loss, and trading costs in the free edge calculator. Estimates are a starting point, not proof of an edge.
Suppose a trader makes 5 ES round trips per day for 250 days, which is 1,250 round trips per year, with these assumed inputs:
| Item | Assumption | Per round trip |
|---|---|---|
| Commission | $0.50 per side | $1.00 |
| Exchange and regulatory | $1.50 per side | $3.00 |
| Slippage | 0.5 tick per side at $12.50 per tick | $12.50 |
| Platform and data | $100 per month, $1,200 per year | $0.96 |
| Total | $17.46 |
That's about $21,825 a year for the whole setup, or $17.46 per round trip. An ES point is $50, so $17.46 is about 0.35 points per trade. A previous draft of this article converted a similar annual cost to roughly 1.7 points per round trip, which was an arithmetic error. The cost per round trip is the annual total divided by the number of round trips, not by something else.
Slippage dominates this example, and it's also the least certain input. Estimate it by comparing intended prices against actual fills from your own trade log, split by order type and time of day. Simulated fills don't validate it, since a sim account doesn't reproduce exchange queue position or real slippage.
How Cost Changes the Win Rate You Need
Per-trade cost sets a break-even win rate. With average winner W points, average loser L points and cost C points per trade, break-even win rate is (L + C) divided by (W + L).
Hypothetical: a 4 point target, a 4 point stop and the 0.35 point cost above. Break-even is (4 + 0.35) divided by 8, or 54.4%, not 50%. Shrink both to 1 point and the break-even becomes (1 + 0.35) divided by 2, or 67.5%. Small targets get hurt far more than larger ones because the cost is a fixed number per contract, not a percentage.
That fixed cost matters even more with micros. A micro contract is a tenth the size of its mini counterpart, but the per-contract fees and half-tick slippage don't scale down by the same amount, so the cost is a bigger share of a smaller profit.
How to Compare Brokers and Data Plans
- Get the all-in per-side figure for the exact product you trade, including exchange and regulatory fees, from the broker's published schedule, and note the date.
- Ask whether the rate depends on volume, account type or platform, and whether it differs by when the account was opened.
- Look at data fees by classification and by exchange, and at platform license terms.
- Compute your cost per round trip and per year at your real trade count, then compare to your average trade result.
- Re-check after any change in how often you trade.
A lower advertised commission can be outweighed by higher platform or data costs, and savings can also be reduced by taxes, so look at after-cost results, not a single fee line.
Using the Numbers
If your average gross trade is barely above your per-trade cost, the strategy has almost no room for error. Put your own win rate, average winner and loser and cost into the edge calculator before drawing conclusions from a backtest, and make sure the backtest included costs and realistic slippage in the first place.
About the Author
Founder, Young Money Investments · Quant Trader
Cameron trades ES, NQ, and futures across multiple market cycles. He founded Young Money Investments to teach systematic, data-driven trading and manages Magnum Opus Capital. His work emphasizes documented rules, risk controls, and review over outcome promises.
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Risk Disclosure & Disclaimer
Educational Purposes Only: The content provided in this blog is for educational and informational purposes only. It does not constitute financial, investment, or trading advice. Young Money Investments is not a registered investment advisor, broker-dealer, or financial analyst.
Risk Warning: Trading futures, forex, stocks, and cryptocurrencies involves a substantial risk of loss and is not suitable for every investor. The valuation of futures, stocks, and options may fluctuate, and as a result, clients may lose more than their original investment.
CFTC Rule 4.41 - Hypothetical or Simulated Performance Results: Certain results (including backtests mentioned in these articles) are hypothetical. Hypothetical performance results have many inherent limitations. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
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