Scalping — VWAP-Deviation Fade E8

Bybit perps, 60d 5m bars, UTC days · ATR≥0.5% universe

Trading Costs: Gross vs Net

Bybit perp cost model: taker 0.055%/side + slippage ~0.03% (1x half-spread) = ~0.14% round trip. Cost in R units = cost% / symbol ATR%.

Avg cost / trade
0.178R
Gross total R
+187069
Net total R
+91893
Net Profit Factor
1.355