Live constraint simulator

Drag the sliders to see how the paper portfolio's performance changes under different sizing, cost, and exit-horizon assumptions. The simulation re-runs in your browser on every slider move — same trade data, different rules.

Strategy parameters

Starting capital $5.0M

How much real money is in the account. Higher = catches more concurrent signals.

Concurrent positions (slots) 5

Max open trades at once. Fewer slots = bigger bets = higher CAGR but deeper drawdowns.

Round-trip transaction cost 60bp

Bond + equity bid-ask cost per trade. Realistic on JP CBs: 50-150bp.

Max exit horizon 60d

Force exit if held this long. Shorter = more turnover but cuts off late convergence.

JPY financing rate 1.0%

Annualized rate paid on the long bond / earned on short proceeds.

Starting$5.0M

Ending equity—

Total P&L—

CAGR—

Max DD—

Sharpe—

Trades taken—

Win rate—

Equity curve

Drawdown

What to try Slide concurrent positions from 5 down to 1 — watch CAGR rise from ~24% to ~50% as concentration increases. Slide transaction cost from 60 up to 150bp — see the strategy's edge shrink dramatically (CB arb is highly sensitive to execution costs). Slide exit horizon below 30 days — too short and you cut off late convergence; too long and you bleed theta.