Frictional Costs In Futures Trading by Jesse Wolff
ARTICLE SYNOPSIS ...Frictional Costs In Futures Trading by Jesse Wolff
If we could trade in a perfect, cost-free world, there would be
many more systems that would exhibit profitable return profiles.
But we don't. So what can we do about frictional costs?
The futures market is not a zero-sum game, and
there is a level of friction -- that is, cost -- that
must be accurately reflected in the research
process and resulting profit/loss profile of any
system being developed. This cost will vary
depending on various factors, including the
contract size of the market traded, the trading
medium (electronic vs. floor brok...