Costs and the Greeks in the test

options costs in the test

The costs-in-the-test law, with the platform's heaviest bill: an options rule tested without its spread, per-leg commission and decay carry tested a fantasy, because those costs are a large fraction of options positions - and the decay is not a one-off but a continuous bleed the test must run over the holding period. And the Greeks must be in the test too: a rule's vega exposure means it is tested against a specific volatility regime, and a different regime tests a different rule.