Bitcoin Execution Cost Stress Lab

How the Bitcoin Execution Cost Stress Lab works

Repeat one power-law strategy across 25 fee and slippage combinations with fixed rules and cash flows. Each cell is compared with DCA paying the same costs, revealing whether the historical edge survives worse execution.

What you enter

• No editable fields; uses weekly BTC prices
• Fixed base strategy: start January 1, 2018, 10,000 USD capital, 500 USD per month, buy at percentile ≤ 25 (50% of cash), sell at ≥ 90 (25% of BTC)
• Fee grid: 0, 10, 25, 50, 100 bps; slippage grid: 0, 5, 10, 25, 50 bps

What it shows

• Positive-excess cells out of 25 and their share
• Median excess and worst-combination excess versus DCA
• 5 × 5 matrix of excess and fees paid per cell
• Cost matrix CSV (adds drawdown and trades), stress snapshot and a link to edit the base strategy in the backtester

How to use it

1. Open the tool; the matrix computes automatically.
2. Count cells that stay positive.
3. Find the cell closest to your real fee and slippage.
4. Check the worst cell (100 bps fee, 50 bps slippage), then export or snapshot.

Formula

Each (fee, slippage) pair runs the base backtest. Buy: notional = budget / (1 + fee), fill = close × (1 + slippage). Sell: proceeds = quantity × close × (1 − slippage) × (1 − fee). DCA in that cell pays the same costs. Excess = strategy final value − DCA final value. Positive share = cells with excess > 0 / valid cells.

Worked example

Worst cell with a 5,000 USD budget: notional = 5,000 / 1.01 ≈ 4,950.50 USD (fee ≈ 49.50). Fill = 40,000 × 1.005 = 40,200 USD, buying ≈ 0.12315 BTC versus 0.125 BTC cost-free, about 1.5% less.

How to read the result

• Mostly positive cells mean the edge is fairly robust to costs.
• Excess turning negative at moderate costs means the result needs cheap execution.
• DCA bears the same costs, so a negative cell means the rules lose their edge.

Limits and cautions

• Market impact, queue position, outages, taxes and failed fills are not modeled.
• The base strategy is fixed; backtester changes do not alter this matrix.
• Passing the grid does not guarantee live results.

Common questions

Why stress costs?

An edge that looks good without costs can vanish as fees and slippage rise.

Does DCA pay costs here?

Yes, exactly each cell’s fee and slippage.

Can I change the base strategy?

Not on this page. Use the power-law backtester to test other parameters.