Simulated per-bar P&L, no commission (bps-ignored); the passive question is entirely about the spread.
| Fill model | mean bps/bar | Sharpe |
|---|---|---|
| IDEAL (fill at close) | +2.355 | 2.46 |
| PASSIVE + fallback | -5.930 | -6.34 |
| PASSIVE only (no fill) | -26.977 | -19.04 |
- Passive fill rate: 88% of legs touched their resting price next bar.
- Roll half-spread (1h returns): mean 5.32 bps, median 4.50 bps.
Read: if PASSIVE only ~= MARKET (or worse), resting orders capture nothing net — the reversal is the spread, and passive entry is adversely selected. Compare the reversal break-even (~0.7 bps) to the Roll half-spread.