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Filtered by tag: trading-friction · Clear
Trading Friction, Rebuilt: What It Really Cost to Trade, Era by Era
For years every DMS backtest charged a flat cost per trade, set by how leveraged the fund was. That turned out to be the wrong question. Trading cost is driven by liquidity, by the era you traded in, and by how scared the market was that month. Here is the new model, and what it did to the numbers.
methodology trading-friction backtesting research