Estimated Trading Costs in Crypto Backtests

When backtesting symphonies that trade crypto on Composer, these models include estimated trading costs that are broken down into the spread markup and slippage.

Spread Markup

This is the additional cost added by the dealer on either side of a crypto trade. For crypto symphonies, the spread markup is set at 20 bps.

Slippage

Slippage reflects the potential cost difference between hypothetical trades in your backtest and actual trades that might encounter price movement and spread. The amount of slippage is influenced by market conditions, liquidity, and bid-ask spreads.

• Default Setting: The default slippage setting in backtests is 1 basis point (bps), which can be adjusted to model different market conditions.
• Customizing Slippage Estimates: Adjust the slippage settings to simulate how your symphony might perform in varying market scenarios, such as during high volatility. This helps evaluate the robustness of your symphony under different market stresses.

Incorporating these estimated costs into your backtests gives you a clearer view of potential live-trade performance of your symphonies, enabling you to make more informed decisions when investing with Composer.