Most published strategies fail in the spreadsheet cell the authors left empty. The arithmetic is one line — annual cost drag ≈ one-way turnover × 2 × per-side cost — plus an impact term that grows with the square root of your participation in daily volume. This calculator runs that line with your numbers and then stresses it, because the point estimate of a cost is always wrong and the sensitivity curve is what you actually own. Defaults are editable and dated October 2026; the reasoning is in the transaction-costs guide and the turnover guide. Everything runs in your browser; nothing is uploaded.
Your strategy, gross of costs
Costs per side
Results
Net annual excess return
Net Sharpe ratio
Annual cost drag
Break-even
Break-even explicit cost per side
Break-even turnover at your costs
Turnover that halves the Sharpe
Cost-sensitivity curve — the number Gate 1 of the production checklist asks for
| Costs at | Per side (bps) | Drag (%/yr) | Net return | Net Sharpe | Return kept | Reading |
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Download this table and your inputs as CSV — paste it into the strategy's evaluation log.
Assumptions (edit me — defaults dated October 2026)
Explicit costs are paid on every dollar traded, and one unit of one-way turnover is a sell plus a buy, so annual explicit drag = turnover × 2 × (fees + half-spread + timing). Impact: the two-way notional traded per rebalance is 2 × AUM × turnover ÷ rebalances; participation is that notional over the universe ADV captured; impact per dollar traded is k · σ_daily · √participation; annual impact drag = turnover × 2 × that. This is a single-day, no-slicing execution; the capacity estimator handles participation caps and multi-day execution. Volatility is assumed unchanged by costs, so net Sharpe = net return ÷ gross volatility. Per-class cost presets are midpoints of the honest research-stage ranges; nothing here is sponsored.
How to read this
The one line. Annual explicit drag = one-way turnover × 2 × per-side cost, because each unit of turnover is a sale and a purchase. Twenty times a year at 15 bps per side is 6% a year before the strategy earns anything; a 250%-turnover momentum book at the same cost pays 75 bps. The number is linear in both inputs, which is why turnover is the second term in every factor’s profit equation, not a detail.
Impact is the term that grows with you. The square-root law prices each dollar traded at roughly k · σ · √(your share of daily volume). It is sublinear, so doubling size does not double the cost per dollar, but it never stops rising, and it is the reason every strategy has a capacity. This calculator executes each rebalance in one day with no slicing, which is pessimistic above a few percent of ADV; the capacity estimator lets you spread execution and pays for it in signal decay instead.
The sensitivity curve beats the point estimate. Every cost above is uncertain, so the robust practice is not a better point estimate but the shape of net return at 1×, 2× and 3× the assumed costs, which Gate 1 of the production checklist requires. A strategy that keeps 80% of its return at 2× is robust; one that goes negative is a cost model with delusions. The break-even cost says the same thing as a single number: how wrong your estimate can be before the edge is gone.
What it does not know. Whether the edge itself survives trading less (it usually weakens, which is the decay-versus-cost trade-off), whether costs are convex on the days that matter, and whether the gross return was real in the first place, which is the deflated Sharpe calculator’s job. Read the transaction-costs guide for the four components and the honest per-class ranges, and the turnover guide for the four turnover-reduction techniques and what each costs in signal.
Model: explicit costs linear in turnover; impact via the square-root law with a single-day execution; volatility held fixed. Per-class presets are midpoints of the guide’s October 2026 research-stage ranges, not quotes.