4 Comments
User's avatar
⭠ Return to thread
The Pied Pipper's avatar

Trend following strategies famously do well if you exclude trading costs. What happens when you add something like 5bps costs to your calculations?

Expand full comment
Quantitativo's avatar

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

Expand full comment
The Pied Pipper's avatar

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.

Expand full comment
Quantitativo's avatar

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!

Expand full comment