There is a major difference between playing this game with commodities and trying to win with a double or nothing Martingale scheme in a casino. The casino always takes their cut. The transaction costs in the futures market are often much smaller if you're dealing with significant amounts of money. Many of the people who experiment with these schemes have very large pools of money to move.
You still need infinite pockets with transaction costs of zero. Again, it's only this one example that's flawed, not other ways around it.
If Entity A wants to move money to Entity B then, Entity A contracts with B for a big new building. B charges too much for the building and A pays up. This can be done with supplies or other commodities.
Ever been suspicious of the run-up in prices of Impressionist paintings by the Japanese a few years ago? Give someone an inexpensive painting (or have them buy it), and then buy it at an inflated rate from them, at auction. Eric