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...
AUTHOR: Jesse WolffDATE: APR 2002SUBJECT: System Design