Where return_rate might look like ~1.1, fee_rate might look like 0.9983 (17 bps), and entry_cost and exit_cost might look like half_spread/price (under some assumptions...).
So I think this comes down to whether T is large enough for that exponentiation to dominate the half-spreads.
I.e. ignoring taxes, the amount I theoretically expect to exit with should look like
Where return_rate might look like ~1.1, fee_rate might look like 0.9983 (17 bps), and entry_cost and exit_cost might look like half_spread/price (under some assumptions...).So I think this comes down to whether T is large enough for that exponentiation to dominate the half-spreads.