I've got a mechanical stock rotation strategy focused on a specific and somewhat illiquid set of stock tickers. It backtests well, it's performed equally well in the past 11 months of live trading, and I've looked at it from enough different angles to be confident that it contains a source of alpha that I can continue to exploit. An avenue I'd like to explore is raising outside money (fund, SMA, whatever) and significantly increasing my profit-making potential (on a 2/20 basis). One of the first questions a (smart) potential investor would ask after seeing the track record is how well the strategy would scale to 10x or 100x the asset base. I'm trying to figure out the most credible way to estimate that and would appreciate any help from the crowd. Without going into detail, here are some basic strategy parameters: * typically 30 equally sized positions at a time * screener refreshes daily, hold periods typically 5 to 15 days * average daily volume of between 40K and 400K shares at $5 to $25 each (so $200K to $10M daily $ volume) * universe of 150 possible targets (of which I'm taking the most attractive quintile) * spreads typically more than a penny but not much more (maybe 2-3 cents) Currently I make 98% of my trades as limit orders rather than market orders to get the exchange rebate. I'm turning the portfolio over 25x a year, so even 0.2% in extra slippage/commissions (that'd be 2 cents on a $10 share) would eat 5% of my annual return. I think if I relied on market orders it'd be much dicier since the market depth in these stocks is marginal at best. Some possibilities I've thought of to estimate scalability limits (or drag created at varying levels of scale): * max % of combined universe daily volume * max % of combined universe market cap * spread between my entry prices and daily VWAP (for all I know I may be doing worse than VWAP ) * avg bid/ask spread (not sure how to consider this) Thanks in advance.