Strategy cost erosion waterfall

How much of the gross return is eaten up by fees and slippage?

Quant strategies and backtests QNT-006 Waterfall Sample

Sample data. Every number, symbol and holding on these pages is generated sample data dated 2026-10-16, used only to illustrate layout and method for educational and informational purposes. It is not market data, backtest output or a forecast, and the analytics described in the specifications are not running.

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0700.HK Tencent Holdings | Hang Seng Index | 2025-10-16 – 2026-10-16 | HKD

Highest item: Net profit and loss
75,842 HKD
Lowest item: Gross profit and loss
-105,381 HKD
Average
4,068 HKD
Number of items
5 items

Strategy cost erosion waterfall

Cumulative profit and loss (base currency) (Waterfall)

Benchmark / after-cost return (%)

Benchmark / after-cost return (%) (Bar)

Event detail and data date

Cumulative profit and loss (base currency) and Benchmark / after-cost return (%) (Table)

Sample data rows

Profit and loss componentsCumulative profit and loss (base currency)Benchmark / after-cost return (%)Data date (sample)
Gross profit and loss -105381 1.15 2026-10-16
Commissions 43370 6.55 2026-10-16
Transaction taxes -47887 4.28 2026-10-16
Slippage 54394 4.08 2026-10-16
Net profit and loss 75842 1.87 2026-10-16
Total 20338 17.93 2026-10-16