The Trading Speed That Actually Maximizes Your Alpha

Introduction

Most systematic traders think about position sizing as a target calculation. Figure out what you want to hold, trade there, done. The math behind optimal trading tells a different story: the path matters as much as the destination. And the optimal path depends on something most systems ignore - how your costs decay over time.

The core problem is this: every trade you make creates market impact that sticks around. Not forever, but long enough that your next trade pays a tax from your previous one. Trade too fast and you’re piling up costs before they can fade. Trade too slow and your forecast expires before you get positioned. The question isn’t just “what should I hold?” - it’s “how fast should I get there?”