How Many Basis Points Does a Crypto Strategy Need to Break Even?

Break-even gross edge must cover entry and exit fees, spread, two-sided slippage, holding costs, and execution failures, minus only a rebate that is actually realized.

Core equation

break-even bps = entry fee + exit fee + spread + entry slippage + exit slippage + funding/borrow + failure cost - realized rebate. Then use minimum tradable edge = break-even + uncertainty buffer.

Worked example

Suppose entry taker fee is 5 bps, exit maker fee 2, spread 1.5, entry slippage 1, exit slippage 1.5, holding cost 0.5, failure allocation 1, and realized rebate 2. Break-even is 5+2+1.5+1+1.5+0.5+1-2 = 10.5 bps. A four-bps buffer raises the candidate threshold to 14.5 bps. This is an example, not a universal threshold.

Gross edge versus realized P&L

Gross edge uses theoretical signal and exit prices. Modeled net edge subtracts assumed costs. Realized P&L uses actual fills, fees, funding, and settled rebates. A model with 12 bps net edge can lose if latency-tail slippage adds six bps.

Expected maker/taker mix

If entries are 30% maker and 70% taker, expected entry fee = 0.3×maker rate + 0.7×taker rate. Calculate exits separately. Protective stops are often taker-heavy and deserve a conservative assumption.

Failure allocation and percentiles

Estimate failure bps = failure and emergency-handling losses ÷ total executed notional × 10,000. Track P50, P75, P90, and P95 slippage. Use a conservative percentile for the base threshold and raise it when volatility or depth deteriorates. Position size remains a separate constraint; use the position-size calculator.

FAQ

Can expected rebates always lower break-even?

Only stable, verified settlements should reduce the base case; stress should set them to zero.

Should average slippage define the threshold?

No. Tail percentiles matter because large adverse fills can dominate small edges.

Is a positive expected edge enough to trade?

No. It must also satisfy risk, liquidity, capacity, and drawdown constraints.

Bottom line

Maintain a live basis-point cost ledger. A break-even threshold is useful only when maker/taker mix, slippage, latency, funding, failures, and rebates are updated from real fills.