How does stop-loss size affect the net risk-reward ratio?

As stop-loss size decreases, the relative weight of trading costs increases. This creates a hyperbolic decay where smaller targets require significantly higher win rates to break even.

Does this skill work for all asset classes?

Yes, it works for any asset class (Forex, Equities, Crypto) as long as you maintain consistent units for pips, points, and currency values during input.

What is the 'Cost Density' metric?

Cost Density is a unified value that combines per-trade commissions and spreads into a pips-equivalent unit, allowing for direct comparison against stop-loss size.

Can this skill help me choose a broker?

Yes, by inputting different commission and spread structures, you can visualize exactly how much more (or less) win-rate accuracy you need to maintain the same net profit.

What is the 'Critical Stop-Loss' (P_critical) threshold?

P_critical is the specific stop-loss distance where the cost burden reduces your strategy's mathematical efficiency by half; trading below this point is often considered the 'event horizon' of unprofitability.

Trading Cost & Net RR Optimizer

Name: Trading Cost & Net RR Optimizer
Author: fatfingererr

byfatfingererr

0•

Analytics & Monitoring

Calculates the nonlinear impact of trading commissions and spreads on net risk-reward ratios and strategy efficiency.

The Cost Density Net RR Calculator is a quantitative finance tool designed to help traders and developers analyze how execution costs erode strategy performance. By integrating fixed commissions and spreads into a single 'Cost Density' metric, it reveals the hyperbolic relationship between stop-loss size and net profitability. This skill is essential for identifying the 'profitability event horizon,' determining minimum viable win rates for specific setups, and avoiding high-friction zones where costs overwhelm signal quality, particularly in scalping and intraday strategies.

Key Features

01Identifies the 'Critical Stop-Loss' (P_critical) threshold for strategy efficiency

02Performs parameter sweeps to visualize the decay curve of strategy returns

03Calculates Net Risk-Reward (RR_net) by integrating commissions and spreads

04Detects high-friction zones where stop-loss placement creates mathematical inefficiency

05Determines the absolute minimum win rate (WR_min) required to remain profitable

060 GitHub stars

Use Cases

01Benchmarking different broker commission structures against strategy performance

02Validating the mathematical feasibility of high-frequency or scalping algorithms

03Optimizing stop-loss placement to minimize the impact of trading friction

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add fatfingererr/macro-skills cost-density-net-rr-calculator

For use in Claude.ai and ChatGPT

Download Skill