{"id":465,"date":"2026-10-09T05:01:14","date_gmt":"2026-10-08T20:01:14","guid":{"rendered":"https:\/\/quant.avalonquant.com\/?p=465"},"modified":"2026-10-11T09:31:53","modified_gmt":"2026-10-11T00:31:53","slug":"backtest-trading-cost-slippage-impact","status":"publish","type":"post","link":"https:\/\/avalonquant.com\/blog\/2026\/10\/backtest-trading-cost-slippage-impact.html","title":{"rendered":"\ubc31\ud14c\uc2a4\ud2b8\uc5d0\uc11c \uc218\uc218\ub8cc\u00b7\uc2ac\ub9ac\ud53c\uc9c0\uac00 \uc911\uc694\ud55c \uc774\uc720: \uac70\ub798 \ube44\uc6a9 2\ubc30\ub85c \uc5f0 29.07%\uac00 26.60%\ub85c"},"content":{"rendered":"<div data-avalon-research-ko=\"backtest-trading-cost-slippage-impact\" data-article-kind=\"explainer\" data-source-strategy-id=\"crypto_tsmom_liu_tsyvinski_voltarget\" data-source-run-id=\"suite_commit=6de729c644599dbf02d6023c9a7e232a48561d70;source_sha=4f4ef9867800b0aa89906cbdb6dce7a238f59ca43d6885a31c86ae2fb4b621be\" data-data-version=\"2019-10-12~2026-10-05 (\ud329 0.1.1, \uc7ac\uc2e4\ud589 2026-10-06)\" data-translation-of=\"\">\n\n<h2>\ud575\uc2ec \uc694\uc57d<\/h2>\n<ul>\n<li>\ubc31\ud14c\uc2a4\ud2b8 \uc218\uc775\ub960\uc740 \uac70\ub798 \ube44\uc6a9\uc744 \uc5b4\ub5bb\uac8c \uac00\uc815\ud558\ub290\ub0d0\uc5d0 \ub530\ub77c \ub2ec\ub77c\uc9d1\ub2c8\ub2e4. \uc218\uc218\ub8cc\ub9cc \ub123\uace0 \uc2a4\ud504\ub808\ub4dc\u00b7\uc2ac\ub9ac\ud53c\uc9c0\ub97c \ube7c\uba74 \uc2e4\uc81c\ubcf4\ub2e4 \uc88b\uc544 \ubcf4\uc785\ub2c8\ub2e4.<\/li>\n<li>\uc2e4\uc81c \uc608\ub85c, \uc8fc 1\ud68c \ub9ac\ubc38\ub7f0\uc2f1\ud558\ub294 \uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885 \uc804\ub7b5(2019-10-12 ~ 2026-10-05)\uc740 \uac70\ub798\ub9c8\ub2e4 0.10%\ub97c \ube90\uc744 \ub54c \uc5f0\ud3c9\uade0 \ubcf5\ub9ac\uc218\uc775\ub960 29.07%, \ucd5c\ub300 \ub099\ud3ed \u221229.23%\uc600\uc2b5\ub2c8\ub2e4.<\/li>\n<li>\uac19\uc740 \uc804\ub7b5\uc5d0\uc11c \ube44\uc6a9\ub9cc 0.20%\ub85c \ub450 \ubc30\ub85c \uc62c\ub9ac\uc790 \uc5f0\ud3c9\uade0 \ubcf5\ub9ac\uc218\uc775\ub960\uc740 26.60%\ub85c 2.47%p \ub0ae\uc544\uc9c0\uace0, \ucd5c\ub300 \ub099\ud3ed\uc740 \u221230.57%\ub85c \uae4a\uc5b4\uc84c\uc2b5\ub2c8\ub2e4.<\/li>\n<li>\ube44\uc6a9 2\ubc30 \uc2dc\ud5d8(\uc2a4\ud2b8\ub808\uc2a4 \ud14c\uc2a4\ud2b8)\uc744 \ud1b5\uacfc\ud574\ub3c4 \uacb0\uacfc\uac00 \uc2e4\uc81c \uac70\ub798\uc640 \uac19\ub2e4\ub294 \ub73b\uc740 \uc544\ub2d9\ub2c8\ub2e4. \uc2e4\uc81c \ube44\uc6a9\uc774 \uac00\uc815\ubcf4\ub2e4 \ud06c\uba74 \uc218\uc775\uc740 \ub354 \uc904\uc5b4\ub4ed\ub2c8\ub2e4.<\/li>\n<\/ul>\n\n<h2>\uac70\ub798 \ube44\uc6a9\uc740 \ubb34\uc5c7\uc73c\ub85c \uc774\ub8e8\uc5b4\uc9c0\ub098<\/h2>\n<ul>\n<li><strong>\uc218\uc218\ub8cc:<\/strong> \uac70\ub798\uc18c\uac00 \uccb4\uacb0 \uae08\uc561\uc5d0 \ub9e4\uae30\ub294 \uc694\uae08\uc785\ub2c8\ub2e4.<\/li>\n<li><strong>\uc2a4\ud504\ub808\ub4dc:<\/strong> \uc0ac\ub824\ub294 \uac00\uaca9\uacfc \ud314\ub824\ub294 \uac00\uaca9\uc758 \ucc28\uc774\uc785\ub2c8\ub2e4. \uc2dc\uc7a5\uac00\ub85c \uc0ac\uace0\ud314\uba74 \uc774 \ucc28\uc774\ub9cc\ud07c \uc190\ud574\ub97c \ubd05\ub2c8\ub2e4.<\/li>\n<li><strong>\uc2ac\ub9ac\ud53c\uc9c0:<\/strong> \uc2e0\ud638\ub97c \ub0b8 \uc2dc\uc810\uc758 \uac00\uaca9\uacfc \uc2e4\uc81c \uccb4\uacb0 \uac00\uaca9\uc758 \ucc28\uc774\uc785\ub2c8\ub2e4. \uac70\ub798\ub7c9\uc774 \uc801\uc740 \uc885\ubaa9\uc774\ub098 \uae09\ubcc0 \uad6c\uac04\uc5d0\uc11c \ucee4\uc9d1\ub2c8\ub2e4.<\/li>\n<li><strong>\ud380\ub529\ube44(\ubb34\uae30\ud55c\uc120\ubb3c):<\/strong> \ub871\uacfc \uc20f \uc0ac\uc774\uc5d0 \uc8fc\uae30\uc801\uc73c\ub85c \uc8fc\uace0\ubc1b\ub294 \ube44\uc6a9\uc785\ub2c8\ub2e4. \uc624\ub798 \ub4e4\uace0 \uc788\uc744\uc218\ub85d \ub204\uc801\ub429\ub2c8\ub2e4.<\/li>\n<\/ul>\n<p>\uac1c\ub150 \uc124\uba85\uc740 <a href=\"https:\/\/avalonquant.com\/learn\/fees-and-funding-affect-performance?src=quant_blog&amp;campaign=backtest-trading-cost-slippage-impact&amp;cta_id=learn_fees&amp;utm_source=quant_blog&amp;utm_medium=blog&amp;utm_campaign=backtest-trading-cost-slippage-impact&amp;utm_content=learn_fees\">\uc218\uc218\ub8cc\uc640 \ud380\ub529\ube44\uac00 \uc131\uacfc\uc5d0 \ubbf8\uce58\ub294 \uc601\ud5a5<\/a>\uc5d0\ub3c4 \uc815\ub9ac\ub3fc \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n<h2>\uc2e4\uc81c \ubc31\ud14c\uc2a4\ud2b8\ub85c \ubcf8 \ube44\uc6a9\uc758 \ud06c\uae30<\/h2>\n<p>\uc544\ub798\ub294 AvalonQuant\uac00 \uacf5\uac1c\ud55c \uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885(TSMOM) \uc804\ub7b5\uc758 \ubc31\ud14c\uc2a4\ud2b8 \uacb0\uacfc\uc785\ub2c8\ub2e4. \ubc14\uc774\ub0b8\uc2a4 USDT-M \ubb34\uae30\ud55c\uc120\ubb3c \uc77c\ubd09 \ub370\uc774\ud130\ub97c \uc4f0\uace0, \uc2e4\uc81c \uacfc\uac70 \ud380\ub529\ube44\ub97c \ub9e4\uc77c \ubc18\uc601\ud588\uc2b5\ub2c8\ub2e4. \ube44\uc6a9\uc740 \uac70\ub798\ud558\ub294 \ucabd\ub9c8\ub2e4 \uac70\ub798 \uae08\uc561\uc5d0 \ub9e4\uae30\uba70, 0.10%\ub294 \uc218\uc218\ub8cc\u00b7\uc2a4\ud504\ub808\ub4dc\u00b7\uc2ac\ub9ac\ud53c\uc9c0\ub97c \ud569\uce5c \uac12\uc785\ub2c8\ub2e4.<\/p>\n<table>\n<thead><tr><th>\uac00\uc815<\/th><th>CAGR(\uc5f0\ud3c9\uade0 \ubcf5\ub9ac\uc218\uc775\ub960)<\/th><th>MDD(\ucd5c\ub300 \ub099\ud3ed)<\/th><th>CAGR \u00f7 |\ucd5c\ub300 \ub099\ud3ed|<\/th><\/tr><\/thead>\n<tbody>\n<tr><td>\uac70\ub798\ub2f9 \ube44\uc6a9 0.10%(\uae30\ubcf8)<\/td><td>29.07%<\/td><td>\u221229.23%<\/td><td>0.99<\/td><\/tr>\n<tr><td>\uac70\ub798\ub2f9 \ube44\uc6a9 0.20%(2\ubc30)<\/td><td>26.60%<\/td><td>\u221230.57%<\/td><td>0.87<\/td><\/tr>\n<tr><td>\ucc38\uace0: \ube44\ud2b8\ucf54\uc778 \ub2e8\uc21c \ubcf4\uc720<\/td><td>39.84%<\/td><td>\u221276.63%<\/td><td>0.52<\/td><\/tr>\n<\/tbody>\n<\/table>\n<p>\ube44\uc6a9\uc744 0.10%p \ub354 \uc62c\ub838\uc744 \ubfd0\uc778\ub370 \uc5f0\ud3c9\uade0 \uc218\uc775\ub960\uc774 2.47%p \uc904\uc5c8\uc2b5\ub2c8\ub2e4. \uc5f0 \ub2e8\uc704\ub85c\ub294 \uc791\uc544 \ubcf4\uc5ec\ub3c4 \ubcf5\ub9ac\ub85c 7\ub144\uc744 \uc313\uc73c\uba74 \ucc28\uc774\uac00 \ucee4\uc9d1\ub2c8\ub2e4. \uc774 \uc804\ub7b5\uc740 \uc8fc 1\ud68c\ub9cc \ub9ac\ubc38\ub7f0\uc2f1\ud558\ub294\ub370\ub3c4 \uc774 \uc815\ub3c4\uc774\ubbc0\ub85c, \ub9e4\uc77c \ud639\uc740 \uadf8\ubcf4\ub2e4 \uc790\uc8fc \uac70\ub798\ud558\ub294 \uc804\ub7b5\uc740 \ube44\uc6a9 \uac00\uc815\uc5d0 \ud6e8\uc52c \ub354 \ubbfc\uac10\ud569\ub2c8\ub2e4.<\/p>\n\n<h2>\ube44\uc6a9 \uac00\uc815\uc744 \uc77d\uc744 \ub54c \ud655\uc778\ud560 \uac83<\/h2>\n<ol>\n<li><strong>\ube44\uc6a9\uc5d0 \ubb34\uc5c7\uc774 \ub4e4\uc5b4\uac14\ub098.<\/strong> \uc218\uc218\ub8cc\ub9cc\uc778\uc9c0, \uc2a4\ud504\ub808\ub4dc\u00b7\uc2ac\ub9ac\ud53c\uc9c0\uae4c\uc9c0\uc778\uc9c0 \ud655\uc778\ud569\ub2c8\ub2e4.<\/li>\n<li><strong>\uc5b4\ub514\uc5d0 \ub9e4\uacbc\ub098.<\/strong> \ub9e4\uc218\uc640 \ub9e4\ub3c4 \uc591\ucabd\uc778\uc9c0, \ud55c\ucabd\uc778\uc9c0\uc5d0 \ub530\ub77c \uc2e4\uc81c \ubd80\ub2f4\uc774 \ub450 \ubc30 \ucc28\uc774 \ub0a9\ub2c8\ub2e4.<\/li>\n<li><strong>\ube44\uc6a9 2\ubc30 \uc2dc\ud5d8 \uacb0\uacfc\uac00 \uc788\ub098.<\/strong> \ube44\uc6a9\uc744 \uc62c\ub824\ub3c4 \uacb0\ub860\uc774 \uc720\uc9c0\ub418\ub294\uc9c0 \ubcf4\uc5ec \uc8fc\ub294 \uacb0\uacfc\uac00 \uc5c6\uc73c\uba74 \uc2e0\ub8b0\ub3c4\ub97c \ub0ae\ucdb0 \ubd05\ub2c8\ub2e4.<\/li>\n<li><strong>\uccb4\uacb0 \uc2dc\uc810\uc774 \ud604\uc2e4\uc801\uc778\uac00.<\/strong> \uc2e0\ud638\ub97c \uacc4\uc0b0\ud55c \uac19\uc740 \ubd09\uc758 \uc885\uac00\uc5d0 \uccb4\uacb0\ud588\ub2e4\uace0 \uac00\uc815\ud558\uba74 \ubbf8\ub798 \uc815\ubcf4\ub97c \uc4f0\ub294 \uc148\uc774 \ub429\ub2c8\ub2e4. \uc704 \ubc31\ud14c\uc2a4\ud2b8\ub294 \ub9c8\uac10\ub41c \uc77c\ubd09\uc73c\ub85c \uc2e0\ud638\ub97c \ub0b4\uace0 \ub2e4\uc74c \ub0a0 \uc2dc\uac00\uc5d0 \uccb4\uacb0\ud55c\ub2e4\uace0 \uac00\uc815\ud588\uc2b5\ub2c8\ub2e4.<\/li>\n<li><strong>\ud380\ub529\ube44 \uac19\uc740 \ubcf4\uc720 \ube44\uc6a9\uc774 \ub4e4\uc5b4\uac14\ub098.<\/strong> \ubb34\uae30\ud55c\uc120\ubb3c \uc804\ub7b5\uc774\ub77c\uba74 \uaf2d \ud655\uc778\ud569\ub2c8\ub2e4.<\/li>\n<\/ol>\n\n<h2>\ud55c\uacc4<\/h2>\n<ul>\n<li>\uc5ec\uae30 \ub098\uc628 \ube44\uc6a9\uc740 \ubc31\ud14c\uc2a4\ud2b8 \uac00\uc815\uc785\ub2c8\ub2e4. \uc2e4\uc81c \uc218\uc218\ub8cc \ub4f1\uae09, \uc8fc\ubb38 \ubc29\uc2dd, \uc2dc\uc7a5 \uc0c1\ud669\uc5d0 \ub530\ub77c \ube44\uc6a9\uc740 \ub354 \ud06c\uac70\ub098 \uc791\uc744 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/li>\n<li>\uc774 \uc804\ub7b5\uc740 \uc6b4\uc77c \uac00\ub2a5\uc131\uc744 \ubc30\uc81c\ud558\uc9c0 \ubabb\ud588\uace0(\ub514\ud50c\ub808\uc774\ud2f0\ub4dc \uc0e4\ud504 \ube44\uc728\uc774 \uae30\uc900 0.95 \ubbf8\ub9cc), \ud45c\ubcf8 \ubc16 \uad6c\uac04(2022-12-31 ~ 2026-10-05)\uc5d0\uc11c\ub294 \ube44\ud2b8\ucf54\uc778 \ubcf4\uc720\uc5d0 \ub4a4\uc84c\uc2b5\ub2c8\ub2e4. \uc804\ub7b5 \uc804\uccb4 \uacb0\uacfc\uc640 \ud55c\uacc4\ub294 <a href=\"https:\/\/avalonquant.com\/blog\/2026\/10\/crypto-tsmom-trend-following-backtest.html\">\uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885 \uc804\ub7b5 \ubc31\ud14c\uc2a4\ud2b8 \uae00<\/a>\uc5d0\uc11c \ud655\uc778\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/li>\n<\/ul>\n\n<h2>\uba74\ucc45<\/h2>\n<p>\uc774 \uae00\uc740 \uacfc\uac70 \ub370\uc774\ud130\uc5d0 \ub300\ud55c \ubc31\ud14c\uc2a4\ud2b8(\uac00\uc0c1 \uc2dc\ubbac\ub808\uc774\uc158) \uacb0\uacfc\ub97c \uc124\uba85\ud558\ub294 \uad50\uc721\uc6a9 \uc5f0\uad6c \uc790\ub8cc\uc774\uba70 \ud22c\uc790 \uad8c\uc720\uac00 \uc544\ub2d9\ub2c8\ub2e4. \uc2e4\uc81c \uac70\ub798 \uacb0\uacfc\uac00 \uc544\ub2c8\uace0 \ubbf8\ub798 \uc218\uc775\uc744 \ubcf4\uc7a5\ud558\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4. \ud22c\uc790 \ud310\ub2e8\uacfc \uc190\uc2e4 \ucc45\uc784\uc740 \ubcf8\uc778\uc5d0\uac8c \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<aside class=\"avq-cta\" data-avalon-cta=\"record\"><p>\uc804\ub7b5\uc774 \uc9c0\uae08 \uc5b4\ub5bb\uac8c \uc6c0\uc9c1\uc774\ub294\uc9c0\ub294 <a href=\"https:\/\/avalonquant.com\/?src=quant_blog&amp;cta_id=record_league\">\uacf5\uac1c \ub9ac\uadf8<\/a>\uc640 <a href=\"https:\/\/avalonquant.com\/track-record?src=quant_blog&amp;cta_id=record_track\">\uac00\uc0c1\uac70\ub798 \uc6b4\uc6a9 \uae30\ub85d<\/a>\uc5d0\uc11c \ub9e4\uc77c \ud655\uc778\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p><\/aside><aside class=\"avq-cta\" data-avalon-cta=\"book\"><p><strong>\ud568\uaed8 \uc77d\uc73c\uba74 \uc88b\uc740 \ucc45<\/strong><\/p><p><a href=\"https:\/\/link.coupang.com\/a\/hKv4I79tts\" rel=\"sponsored nofollow noopener\" target=\"_blank\">\ud000\ud2b8 \ud22c\uc790 \ubb34\uc791\uc815 \ub530\ub77c\ud558\uae30<\/a> (\uac15\ud658\uad6d, \uae38\ubc97) &#8212; \uc5f0\ud3c9\uade0 \ubcf5\ub9ac\uc218\uc775\ub960\u00b7\ucd5c\ub300 \ub099\ud3ed \uac19\uc740 \uae30\ubcf8 \uc9c0\ud45c\uc640 \ubc31\ud14c\uc2a4\ud2b8 \uc77d\ub294 \ubc95\uc744 \ucc98\uc74c\ubd80\ud130 \ub2e4\ub8f9\ub2c8\ub2e4.<\/p><\/aside><p class=\"avq-affiliate-note\"><small>\uc774 \uac8c\uc2dc\ubb3c\uc740 \ucfe0\ud321 \ud30c\ud2b8\ub108\uc2a4 \ud65c\ub3d9\uc758 \uc77c\ud658\uc73c\ub85c, \uc774\uc5d0 \ub530\ub978 \uc77c\uc815\uc561\uc758 \uc218\uc218\ub8cc\ub97c \uc81c\uacf5\ubc1b\uc2b5\ub2c8\ub2e4.<\/small><\/p><\/div>","protected":false},"excerpt":{"rendered":"<p>\uc218\uc218\ub8cc\u00b7\uc2a4\ud504\ub808\ub4dc\u00b7\uc2ac\ub9ac\ud53c\uc9c0\u00b7\ud380\ub529\ube44\uac00 \ubc31\ud14c\uc2a4\ud2b8 \uc218\uc775\ub960\uc744 \uc5bc\ub9c8\ub098 \ubc14\uafb8\ub294\uc9c0 \uc2e4\uc81c \uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885 \ubc31\ud14c\uc2a4\ud2b8\uc758 \ube44\uc6a9 2\ubc30 \uc2dc\ud5d8 \uacb0\uacfc\ub85c \ubcf4\uc5ec \uc8fc\uace0, \ube44\uc6a9 \uac00\uc815\uc744 \uc77d\ub294 \uc810\uac80 \ubaa9\ub85d\uc744 \uc815\ub9ac\ud569\ub2c8\ub2e4.<\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[17],"tags":[],"class_list":["post-465","post","type-post","status-publish","format-standard","hentry","category-quant-basics"],"blogger_post_id":null,"_links":{"self":[{"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/posts\/465","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/comments?post=465"}],"version-history":[{"count":0,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/posts\/465\/revisions"}],"wp:attachment":[{"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/media?parent=465"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/categories?post=465"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/tags?post=465"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}