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Fred,
I don't doubt that the dd's will be even lower than they are now. This discussion raises a fundamental question in my mind that has been plaguing me for a long time about how best to conduct a backtest in Amibroker (or any system development software for that matter). I've been backtesting numerous systems over the last year or so, using position size statements that risk 1% of CURRENT equity (i.e., compounded), and even with that restriction, profits get unmanageably huge because the entire portfolio is comprised of one stock. I know TJ is working on group portfolio testing for a future version of AB, so I'm not going to hassle him on that issue. But, meanwhile, does anyone know how best to do a backtest that gives realistic results? I think it is an important money management principle to increase one's bet size as his equity increases and decrease it as the equity declines. But, when you do this over a reasonable number of years, your equity grows to enormous values, creating equally enormous position sizes and therefore overly optimistic results. However, as you have said yourself, limiting your position size to a fixed dollar amount is also unrealistic because it does not allow you to grow or increase your bet size as you should. So, that raises the basic question, how should a backtest be conducted to give reasonably realistic results that can be relied upon for further system development?
Al Venosa
>From: "Fred "
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To: amibroker@xxxxxxxxxxxxxxx
>Subject: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
>Date: Wed, 05 Feb 2003 13:45:49 -0000
>
>Al,
>
>Maybe when I get to $50mm I'd agree with you, but to limit position
>sizes produces unrealistic results if in no other way then it will
>greatly reduce DD's unless the Max DD's occured near the beginning of
>time and will make the system more properly resemble how futures
>traders trade.
>
>All the trade dates and prices are there so if this is in your
>interest feel free to cut and paste to Excel and do your own calcs.
>
>Fred
>
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