Cost: the wall that knocks down most short-term signals

A backtest without costs is science fiction. Every rebalance pays fees, spread and, if you short, borrow. The faster you trade, the more times you pay that toll.

That's why so many intraday or weekly signals look great gross and deflate net: cost takes exactly the margin that looked like edge. We measure it by subtracting cost at every rebalance, not at the end.

The practical consequence is uncomfortable but freeing: at short horizons almost nothing survives cost, and the real edge usually lives at longer horizons where you trade less.