Trend following strategies famously do well if you exclude trading costs. What happens when you add something like 5bps costs to your calculations?
The strategy will obviously have a worse performance the higher.
Anyway, 5 bps looks insanely high for an instrument with a bid-ask spread of 1/10th of a basis point
I think that’s reasonable. And in cases where you take out leverage your borrowing cost will be hefty. I can’t imagine commissions cheaper than 5bps.
Thanks! So far, I've been trading only stocks... futures are something new. I will try something with fewer trades to accommodate higher trading costs...
Cheers!
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Trend following strategies famously do well if you exclude trading costs. What happens when you add something like 5bps costs to your calculations?
The strategy will obviously have a worse performance the higher.
Anyway, 5 bps looks insanely high for an instrument with a bid-ask spread of 1/10th of a basis point
I think that’s reasonable. And in cases where you take out leverage your borrowing cost will be hefty. I can’t imagine commissions cheaper than 5bps.
Thanks! So far, I've been trading only stocks... futures are something new. I will try something with fewer trades to accommodate higher trading costs...
Cheers!