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docs: update results table with real cap-tier simulation numbers

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Large/mid underperform SPY significantly. Micro-cap surprisingly beats market
by +12% despite highest RT costs -- per-trade alpha in small stocks is large
enough to survive friction, but missing price data and real illiquidity are
bigger concerns than the simulation can capture.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Dominik Moritz Roth 2026-05-26 18:37:08 +02:00
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@ -135,18 +135,17 @@ The signal exists. It just does not survive transaction costs.
![Equity Curves](plots/equity_curves.png)
Alpaca charges $0 commission on US equities. Real costs are spread + slippage only:
Alpaca charges $0 commission on US equities. Real costs are spread + slippage only.
Simulated on 2020-2025 data, 7d hold, 1d entry delay, 10% of cash per signal:
| Scenario | RT cost | Ann. return | vs SPY |
|----------|---------|-------------|--------|
| Theoretical (no costs) | 0% | +177% | +151% |
| Alpaca, large-cap | ~0.2% | ~+20% | ~+4% |
| Alpaca, mid-cap | ~0.5% | ~+5% | -11% |
| Alpaca, small-cap | ~0.7-1.0% | -1% to -8% | -17% to -24% |
| Cap tier | Signals | RT cost | Ann. return | vs SPY |
|----------|---------|---------|-------------|--------|
| Large (>$10B) | 4,098 | ~0.2% | +2.4% | -20.0% |
| Mid ($2-10B) | 3,537 | ~0.5% | +0.9% | -15.1% |
| Small ($300M-2B) | 3,871 | ~0.8% | +12.2% | -6.8% |
| Micro (<$300M) | 5,048 | ~1.6% | +27.5% | +11.9% |
SPY annualised over the same period: ~+16%.
Break-even is roughly 0.3-0.5% round-trip. On Alpaca that means large-cap stocks only. Most insider buying happens in small and mid-cap names, so filtering aggressively kills signal count.
The large and mid-cap tiers lose badly to the index. Micro-cap surprisingly beats it by +12%, despite the highest transaction costs -- the per-trade alpha in tiny stocks is large enough to survive friction. However, micro-caps had 46% of signals skipped due to missing price data, and real execution on illiquid micro-caps is harder than the simulation assumes.
### Is insidercopytrading.com a scam?