A Smart Framework For Monetizing Fast Signals

Introduction

A profitable strategy on paper can become unprofitable in production because of a single overlooked factor: your trades move prices. When you buy a security, you push its price up. The next share you buy costs more than the last. Do this at scale, and you can erode your entire edge before capturing any of it.

This matters more than most systems account for. The question is not just whether to trade, but how fast to trade, and the answer depends on a surprisingly elegant tradeoff between risk, cost, and expected return.