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Re: [amibroker] Re: Systems for indices



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Trading Reference Links

Forgot to mention:

  TType=1 is Long trade
  TType=0 is Short trade


UM

----- Original Message ----- 
From: "Uenal Mutlu" <uenal.mutlu@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, May 01, 2003 2:25 AM
Subject: Re: [amibroker] Re: Systems for indices


> Hi Fred,
> 
> I've sent you UM_SysLog.zip.
> There are 5 backtesting result files; for 1 to 5
> securities traded each day respectively.
> 
> FYI: the universe is the N100, and the test period
> is 10/1/2001 to 4/28/2003. US locale settings
> were used (ie. Date format).
> 
> Columns have long and IMHO self explanotory names.
> 
> Initial capital is 50000. Commission was not accounted. 
> And, every day the whole capital is used by evenly distributing it
> over the set number of securities to trade; to achieve this, and 
> also to make things simpler, fractionaly quantity of shares were 
> allowed (ie. you can buy fe. 500.78 shares). 
> 
> If you think there belong some more fields to the resulting table
> let me know please.
> 
> UM
> 
> ----- Original Message ----- 
> From: "Fred" <fctonetti@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, May 01, 2003 12:18 AM
> Subject: [amibroker] Re: Systems for indices
> 
> 
> > You can send me the .CSV if you want ... ftonetti@xxxxxxxxxxxxx
> > 
> > Hopefully it would be organized by symbol and would have a B or S and 
> > a MM/DD/YY after it or something like that to be easy to deal with.
> > 
> > If you send it tell me also whether you're compounding or not and if 
> > not what your initial equity is and fixed position size is.
> > 
> > I would think if all your wanting in a subsidiary system is to have 
> > one that is optimized for being correct the largest % of the time as 
> > to whether some index like SPX was going up that this wouldn't be 
> > horrendously difficult to get above 60%, but maybe I don't fully 
> > understand your wish.
> > 
...


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