Strategy capacity: the number nobody computes until it hurts

There is a property of your strategy you are expected to know and almost nobody here computes: how much capital it can absorb before it stops working. I have barely seen it discussed in retail circles at all. The mechanism is simple. Your edge exists at a certain size. Double the size and your own orders start moving the price you're trying to get. At some point the profit you'd add by trading larger is exactly cancelled by the worse fills you cause, and past that point growing makes you worse off in absolute terms, not just in percentage. For most people here this is theoretical. For anyone trading thin names on short timeframes, it isn't — you can hit your capacity at surprisingly modest size, and the symptom is a strategy that "stopped working" exactly when you started believing in it enough to size up. Cheap way to estimate it: plot your average slippage against your order size across your own history. If the line is flat, you have room. If it's sloping, you've found your ceiling.