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Strawman. Suppose you are market maker and never have to pay a dime in fees. Morover, anything lost on spread is immediately refunded. If you have strategy tha
by hamilyon2 5y ago
Strawman. Suppose you are market maker and never have to pay a dime in fees. Morover, anything lost on spread is immediately refunded.
If you have strategy that very quickly loses money in this harsh conditions, you have a winner.
- JumpCrisscross 5y ago> anything lost on spread is immediately refunded This is unrealistic and produces fantasy strategies. Capping spreads over a unit of time is more realistic. That said, this way of thinking, iterated with discipline, does lead to a decent portfolio strategy. (Though not necessarily an outperforming one.)