Cost drag is what happens when a strategy's real per-trade edge is evaluated against how often it trades: a strategy with a small edge per trade can still be strongly profitable at low frequency, but the same small edge gets progressively eaten away as trade frequency rises and round-trip costs compound across more and more trades. Two strategies with identical gross returns can have very different net returns purely based on how many times each one paid the round-trip cost to get there.
This is precisely why a backtest that under-counts fees and slippage flatters high-frequency strategies the most: the gap between gross and cost-drag-adjusted net returns widens with trade count, so the strategies most vulnerable to an unrealistic cost assumption are exactly the ones a careless backtest makes look best.
zengtrade's cost gate exists specifically to police this: it refuses signals whose expected edge doesn't clear a multiple of round-trip cost, keeping cost drag from quietly turning an active-looking strategy into a net loser.
Educational content, not investment advice. zengtrade is paper-first and non-custodial.