Scorefio · case study · ETHUSDT · 64 round tripsbeta

A strategy that works as limit orders and not as market orders

64 round trips on ETHUSDT, costed at $10,000 per trade against binance, over 29 Apr 2026 to 28 Aug 2026.

What this shows

Supertrend 10/3 on ETHUSDT hourly perpetuals. The signal has an edge. Whether you keep it depends entirely on how your orders reach the book.

Charged at taker fees — which is what a market order pays, and what a limit order that crosses the book also pays — the edge does not clear. Charged at maker fees, it does. That is the whole finding, and it is a configuration change rather than a different idea.

The report says this as a lever with a number attached, not as advice. It also says how confident the claim is: the maker figure carries its own confidence band, because a claim about the maker result has to be judged on the maker interval and not on the one belonging to the number we are not making a claim about.

Most strategies that 'stopped working live' were never tested against the fee tier and order type they were actually going to be traded with. This is what that looks like when you check it in advance.

This is a real report, not an illustration

Everything below was produced by the same engine that costs an upload, from the same market data, and is rendered by the same template. Upload your own trade list to get one for your strategy.

New to these terms? Open this first

bps: A basis point: one hundredth of one percent. 100 bps = 1%. 10 bps = 0.1%. On a $10,000 trade, 1 bps is $1.
round trip: One complete trade — getting in and getting out. Most costs are charged on both sides, so a 5 bps fee is 10 bps per round trip.
gross / net: Gross is what the strategy made before any cost. Net is what is left after them. Your backtest almost certainly reported gross and called it net.
taker / maker: A taker order crosses the spread and fills immediately, at the higher fee. A maker order rests in the book and waits, at the lower fee. A limit order that crosses is still charged as a taker.
funding: On a perpetual future, a payment between longs and shorts at fixed intervals. Holding a position through one means paying or receiving it. Not every symbol settles every 8 hours — about half do not.
impact / spread at size: What it costs to actually fill your order size by eating through the order book — as opposed to the quoted spread, which only applies to a tiny order.
signal-to-fill drift: How far the price moved between your signal firing and your order actually filling. A backtest assumes these are the same moment. They are not.
breakeven: The cost level at which the strategy's edge disappears. Above it you lose; below it you keep something. This is the number the report is really for.
band: The range the true figure plausibly sits in, given how few trades there are. A band that crosses zero means the result could go either way and the sample cannot tell you which.
containment: Our check that each fill sits inside the price range its bar actually traded. A fill outside it means the wrong symbol, venue, or timezone — or invented data.
in-sample: A rule chosen by looking at the same data it is then scored on. It always looks good in hindsight and rarely survives contact with next month.

Verdict

Maker helps — but not proven

Maker-only would turn this positive (+3.6 bps against -2.4 as uploaded) — but 64 trades cannot prove the maker figure either: it spans -91 to +117.

Breakeven fee budget is 7.6 bps per round trip; taker is 10, maker is 4. Switching order type is the cheapest thing on the page to try and it moves the number the right way — but on this sample it is a change worth testing, not a proven fix.

gross, before any cost +17.8 bps

total cost, per round trip −20.2 bps

net per trade, as configured -2.4 bps

net per trade, maker-only +3.6 bps

90% band: -97.3 to +110.7 bps. The band touches zero, so this result is not proven either way — 64 trades cannot separate it from chance. What would settle it is more trades, not a tighter cost model.

Maker-only band: -91.3 to +116.7 bps. Switching order type moves the whole range up by the fee difference, but not far enough to clear zero — so the maker figure is worth testing, not yet proven.

Platform promised

+$1,140

over 64 trades at $10,000 each

As configured you'd have got

−$152

same trades, real costs

Difference

$1,291

what finding this out before going live is worth

Input validation

containment — fills inside their bar's traded range (ε 0.05%) 100.0% · proceed

bar-close execution fingerprint 100% · signal-to-fill drift applies

sample size 64 trades · low confidence (<100)

64 round trips is below the ~100 usually needed to separate edge from chance
bar-close execution detected; signal-to-fill drift applies

Cost stack

Basis points per round trip, where a negative number is a credit rather than a cost. Every line names the basis it came from; a line with no basis shows no number.

Component	bps	Band	Basis	Note
Fees	10.0	—	Published	binance regular taker, round trip — schedule not yet verified against source
Funding	0.5	—	Published	exact, 500 settlement records at 8h intervals
Signal-to-fill drift	9.4	-29.1 … +28.2	Measured	a + b*body fit from 106 signals over 45d (sma_cross_1h); this list looks like supertrend_1h, so the fit is borrowed from a different signal family and the band matters more than the point. No comparison against live fills has been run yet. Adverse selection is a model.
Impact at your size	0.3	—	Measured	your $10,000 order priced at the $25k rung — the nearest depth we sample at or above it, so this is the conservative side. Both sides, median of 8 L2 samples on binance.
Total	20.2	—		All components have a basis.

Funding, per trade

Funding is reported as a distribution because its mean is misleading. Positive means you paid.

-4.3

p25

-0.9

median

+0.2

p75

+1.7

p95

+6.2

largest single

12.1

settlement interval for this symbol every 8h

windows crossed, average per trade 5.7

trades where funding exceeded fees 4.7%

Mean funding is +0.5 bps, which reads as "ignore it". It is not: 4.7% of these trades paid more in funding than in commission, and the worst single trade paid 12.1 bps.

Breakeven and venues

gross edge per round trip+17.8 bps

fee budget this strategy survives at +7.6 bps rt · +3.8 per side

Venue	Taker rt	Net / trade	Net total	Survives	Maker net	Fee source
binance	10.0	-2.4	−$152	NO	+3.6	Published · unverified
okx	10.0	-2.4	−$152	NO	+3.6	Published · unverified
kraken	10.0	-2.4	−$152	NO	+3.6	Published · verified
bybit	11.0	-3.4	−$216	NO	+3.6	Published · unverified

What would change it

Gain is measured against the configuration you uploaded. "Clears" means this lever alone takes the strategy above zero.

Lever	What it changes	Gain	Net after	Clears	Basis
Maker instead of taker	fees 10 -> 4 bps rt	+6.0	+3.6	yes	fee catalogue
Exit before window 4	caps funding on 40 trades held > 3 windows	+0.3	-2.1	no	05 funding dist
Best venue at your size (binance)	impact 2.1 -> 0.3 bps rt vs worst venue	+0.0	-2.4	no	sampler
Skip signals on bars > 127 bps body	drops 16/64 trades; adverse slope 0.083/bp	+62.6	+60.3	yes	07 adverse fit
Maker + best venue (combined)	the two independent execution levers together	+6.0	+3.6	yes	combined

One of these is not a fix

Skip signals on bars > 127 bps body selects trades using the same data it is scored on. The gain shown is what the filter would have earned in hindsight, which is not what it would earn next month. Treat it as a hypothesis to forward-test, never as a change to make today.

WORTH TESTING · NOT SIZED

Try a slower timeframe

You traded 64 times in 122 days — about 3.7 round trips a week.

Every round trip pays the cost stack again. Trading the same rules less often usually keeps more of the edge than any execution change, and in our case studies it was the largest single lever on the page.

Re-run the same strategy on a higher timeframe in your platform and upload that trade list too. We will cost it the same way, and you can compare the two directly.

This carries no number on purpose. We receive your trades, not your rules, so we cannot compute what those rules would have done on different bars. Rather than estimate it, we are telling you it is worth testing.

Survival and sensitivity

Winners, gross

23 / 64

Winners, after costs

23 / 64

at 10.0 bps round trip

Trades that stopped working

Net per trade against assumed round-trip cost

Assumed cost (bps rt)	Net per trade (bps)
0	+17.8
5	+12.8
10	+7.8
15	+2.8
20	-2.2
30	-12.2

Provenance

What produced this report. If any input is later corrected, this is how we find the reports it affected and tell you.

model version0.1.7

generated03 Sep 2026

adaptergeneric_csv

price databinance-futures-1h

fee schedule versions4 referenced

calibration records adverse:ETHUSDT:sma_cross_1h

fee lines not yet verified against source binance:regular, bybit:regular, okx:regular

An unverified line means we hold the venue's published figure but have not yet confirmed it against the source this month. It is labelled everywhere it is used.

→

The other studies

A BTC strategy that looks profitable and is not — MACD on BTCUSDT 1h, costed line by line against Binance fees, funding and signal-to-fill drift. What the tester reports and what you would have received.
When costs are not the problem — MACD on ETHUSDT 1h loses before a single cost is applied. A report that tells you to change the signal rather than the venue.

Cost your own trade list. Free, no account.