North star / What counts as true
Judge only what could have been traded
We measure at prices someone could actually have had, after cost.
A return measured at a closing price nobody could have traded at makes an idea look better than it is, especially over short horizons. We measure from a price where a trade could really have been placed, and we take the cost out.
An effect that is real but too small to survive cost is not an edge. It is an interesting fact.