Trading cost break-even calculator
Estimate how declared round-trip costs affect annual return and Sharpe. Inspect the cost and trading-frequency levels where a positive gross return reaches zero.
Cost and activity inputs
The starting case is synthetic: 12% annual gross return, 18% annual volatility, 24 round trips per year and average notional exposure equal to capital. The cost inputs are 2 bp venue round-turn, 1 bp fees and slippage, and 1.5 times stress.
Annualized results
- Annual cost friction
- Net annual return
- Net Sharpe
- Break-even combined base cost
- Break-even round trips per year
Break-even cost is the combined venue plus additional cost before the stress multiplier. Break-even trips hold exposure and entered cost fixed. A threshold is not defined when its denominator is zero or gross return is negative.
The URL contains entered numbers. Select and copy it to share; calculations stay in the browser.
Net Sharpe against round-trip cost
The horizontal axis is combined venue plus fees and slippage in bp, before stress. The vertical axis is net annual Sharpe with the entered volatility held fixed.
Method and scope
The app composes the declared cost as (venue round-turn bp + fees and slippage bp) × stress multiplier, then converts bp to a fraction of notional. Annual friction (%) = round trips per year × average exposure × composed cost (bp) / 100. Net return (%) = gross return (%) − annual friction (%). Net Sharpe = net return (%) / annual volatility (%). Net Sharpe uses zero as the reference return; volatility is held fixed.
Break-even combined base cost (bp) = gross return (%) × 100 / (round trips × exposure × stress). Break-even round trips = gross return (%) × 100 / (exposure × composed cost in bp). These are arithmetic sensitivities under constant exposure, volatility and cost per trade; they are not estimates of future execution.
The declared round-turn cost in the app leaves out volatility-scaled slippage, a fixed drag per trade expressed in risk units, and holding-time financing such as swaps or crypto funding. Their effects require separate modelling. Transaction costs and slippage in backtesting describes execution assumptions. All calculators.
Frequently asked questions
What is a basis point?
One basis point is 0.01% of notional. The cost field covers entry and exit together.
Does the result include changing volatility?
No. The Sharpe sensitivity holds entered annual volatility fixed while cost changes the annual mean return.
What happens with zero exposure?
Annual friction is zero. A finite break-even cost or trade count cannot be calculated because exposure appears in the denominator.