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Thomas-
Is it possible to add an option to the back test program to limit the
amount of any single investment? I believe the current method invests
the entire current balance for a stock in the next trade. I believe
this provides two problems:
First, the dollar results of a winning system (other than percentages)
are biased toward the most recent trades where more money is made.
Second, again with a strong system, after a string of successful investments,
the model shows investing large amounts of money, sometimes in thinly traded
issues. This is unrealistic and leads to overoptimistic results.
Thanks and best regards,
-Tom McDaniel
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