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Hello
Fred,
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<FONT face=Arial color=#0000ff
size=2>Backtesting system on a constant dollar trades basis enables you to
calculate the expectency of your system. Then, you can apply your position
sizing algorism, which should include at least a minimum size under which
trading should be stopped (that applies especially to professionnal traders that
have fix costs to take into account), and a maximum size above which the
commission/slippage you included in your test non longer
applies.
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Best
regards, Jérôme ULRICH
<FONT face=Tahoma
size=2>-----Message d'origine-----De : Fred
<fctonetti@xxxxxxxxx>
[mailto:fctonetti@xxxxxxxxx]Envoyé : mercredi 5 février 2003
15:13À : amibroker@xxxxxxxxxxxxxxxObjet :
[amibroker] Re: NDX / QQQ-Can itbe traded?
!!!!Yuki,I'm not arguing your statement in
terms of how one might trade in the real world, but you are not going to
design & optimize a trading system based on constant dollar trades are
you ? especially if that sysem is designed to trade a broad index
like NDX as represented by QQQ's or for that matter the hundred stocks it
represents.--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga
<yukitaga@xxxx> wrote:> Hi Fred,> > Wednesday,
February 5, 2003, 10:45:49 PM, you wrote:> > Ffyc> Maybe when
I get to $50mm I'd agree with you, but to limit> Ffyc> position
sizes produces unrealistic results> > Sorry, but you are quite
wrong. I thought you were a trader, too,> but now I'm wondering.
It is unrealistic, quite unrealistic, not to> limit position sizes to
positions that can slip in and out of a> market without distorting it,
or actually becoming the market.> > Trading anything even close
to that size, or allowing it to be> considered as a test, in most
stocks, is producing results that> cannot be obtained in real trades,
therefore the results are absurd.> > I would guess you would
have to scale down drastically in many issues> that are less liquid
than others. You can do it or not as you see> fit, but don't
expect much respect for the numbers you are posting if> you
don't. They are absurd.> > Best,> >
Yuki> > mailto:yukitaga@xxxxPost
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