Edit the assumptions to see how the result changes. These example values are hypothetical.
Try the example, then change one input
See where $58 of costs goes
Use 20 round trips, $1,000 average notional, $1 commission per order, 5 bps full spread, 2 bps additional slippage per side and $500 gross P&L.
- Gross assumption
- $500
- Estimated costs
- $58
- Net scenario
- $442
Commissions are $40, spread $10 and additional slippage $8. The independent sensitivity model leaves $442 from $500.
Change one assumption
Select More friction below: 10 bps full spread and 5 bps extra slippage per side raise estimated costs to $80 and leave $420.
Use the calculator aboveEach round trip has two orders. Full spread is charged once and extra slippage twice. These assumptions do not replace the engine's fill model.
Continue with your own portfolio
Open the example in Aurora, review the request and choose the portfolio or result you want to inspect. The request carries the assumptions and the evidence checks with it.
An editable draft opens. You choose when to send it; opening the draft does not run a test, publish a portfolio or place an order.
Enter completed round trips
One round trip includes both entry and exit. Enter commission per order, the full spread in basis points and additional slippage per side. Use gross P&L before these modeled costs. The output is a cost sensitivity estimate, not a new backtest.
Worked example: $58 of modeled costs
Inspect the worked arithmetic
For 20 round trips with $1,000 average notional, $1 commission per order, a 5-basis-point full spread and 2 basis points of additional slippage per side, commissions total $40, spread costs $10 and slippage $8. Total modeled cost is $58. An entered $500 gross P&L becomes $442 in this scenario.
How round-trip costs are calculated
How round-trip costs are calculated
For each completed round trip, the model charges two order commissions, one full bid-ask spread on the entered average notional, and additional slippage on both the entry and exit. One basis point equals 0.01%.
Total cost = round trips × (2 × commission per order + average notional × (spread bps + 2 × slippage bps) / 10,000). Net scenario P&L equals the entered gross P&L minus this modeled cost.
Keep the cost inputs separate
Keep the cost inputs separate
The full spread is the total bid-ask distance; the model assumes half-spread crossing at entry and exit. Additional slippage is measured beyond that crossing. Do not enter the spread again as slippage unless you intentionally want to charge it twice.
This is an independent sensitivity model, not the NexusTrade engine's actual fill model or a historical backtest. It assumes equal average notional per side and excludes variable order sizes, partial fills, exchange fees, borrow costs, financing, market impact and taxes. If gross P&L already includes these costs, subtracting them again double counts them.
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