@article{Duran2011AProfitableTradingAndRisk,
  author = {Duran, A. and Bommarito, M. J.},
  title = {A profitable trading and risk management strategy despite transaction costs},
  journal = {Quantitative Finance},
  year = {2011},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1509811}
}