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I am not challenging your system, just want to figure
out somethings about system testing. And I don't think it
is a boring/teasing discussion.
Here again from your output:
"Out 1/15/2003 26.74 1/21/2003 25.03 0.00 0.00 50222689.16
Long 1/21/2003 25.03 1/22/2003 24.93 50222689.16 -200650.74
50022038.42 "
So. taking 100000 as equity (shown in the report)
the trade breakdown I get is:
Long 1/21 100000/25.03 = 3995 shares
Exit 1/22 3995@xxxxx = 99595.35
so, Loss is 100000-99595.35= (404.65) BUT loss in the report
above shown is huge -200650.74!! So, the equity number is not
working.
Let me try with 50222689.16, equity at close of previous trade
Long 1/21 50222689.16/25.03=2006499.76 shares
Exit 1/22 2006499.76 @ 24.93 =50022039.18
so, Loss is 50222689.16-50022039.18= (200659.97) which
is correct, so the system is compounding, isn't it?
If you turn off the compounding, how does the system perform?
I'm curious, as to whether lack of compounding may diminish
the profits. Because your system kicked in just before the
bull run; you built up a large equity, perhaps large enough to
sustain any major loss. The starting date for the test influences
the profit.
tia
nand
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx> wrote:
> In regards to a variety of questions that have surfaced:
>
> Although trading QQQ's throughout the day is more like trading the
> futures then the NDX cash, trading QQQ's at it's close or at the NDX
> cash close is a close approximation to NDX. The system I posted
before
> included a chart and a report that showed NDX as the trade vehicle
which
> although not tradable per se should suffice as a proxy for trading
QQQ
> at the close.
>
> If for some reason it doesn't, attached are a full and a recent
chart
> and the results of trading QQQ itself over its entire history. I
don't
> like to test using QQQ because its history IMHO is too short. The
> results are more or less the same.
>
> Fred
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