Position Simulator

The Simulator models expected returns for a specific position, incorporating decay, capacity, and fee effects.

Input Parameters

Metric	Description
Net Expected PnL	Final PnL after all adjustments
Net Expected Return	PnL as % of position size
Total Fees	Entry + exit fee drag in USD

Metric	Description
Gross Funding PnL	PnL if funding persisted unchanged
Decay Adjustment	PnL reduction from half-life decay
Survivable PnL	PnL after survivability adjustment
Capacity Penalty	Reduction factor from position sizing
Capacity-Adjusted PnL	PnL after capacity penalty
Fee Drag	Total fees in USD

PnL_{gross} = APR_f \times PositionSize \times \frac{HoldingHours}{8760}

Using the opportunity's half-life:

DecayFactor = \frac{1 - e^{-\lambda \times h}}{\lambda \times h}

Where $\lambda = \ln(2) / t_{half}$ and $h$ is holding hours.

If position size exceeds soft capacity:

P_{cap} = \min\left(1, \frac{C_{soft}}{PositionSize}\right)^{0.5}

Fees = PositionSize \times (EntryFee_{bps} + ExitFee_{bps}) / 10000

PnL_{net} = PnL_{gross} \times DecayFactor \times Survivability \times P_{cap} - Fees

Net Return	Assessment
> 0.1%	Positive expected value at this size/horizon
0 to 0.1%	Marginal, fees may dominate
< 0%	Negative expected value — reconsider

Start with smaller positions — Capacity penalties compound quickly
Extend horizon for quality — Better persistence for higher half-life opportunities
Compare fee impact — Short horizons are fee-sensitive
Use realistic fees — Include your actual exchange fee tier