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Do you have a PositionScore = statement ?
With regards to the rest, imho futures related systems are better
evaluated using continuous contract data which can be "manufactured"
using a variety of techniques.
--- In amibroker@xxxxxxxxxxxxxxx, "Owen Davies" <owen5819@xxxx> wrote:
> Al Venosa reasonably asked:
>
> > Why do you say portfolios are not well adapted to futures trading?
>
> With futures, you have a number of considerations that do not apply
to
> stocks. I did not want to take up bandwidth with stuff people
might already
> know, but nearly everyone here trades equities, so...
>
> One problem is TickSize. It's different for each vehicle. So if I
want to
> trade the e-mini S&P, TickSize gets set to 0.25. For the full-
sized S&P,
> it's 0.10. For T-bonds, it is 0.03125, and for T-notes it's half
that. AB
> cannot check what contract is being tested, so you need a different
> portfolio for each futures market. (I assume you can have more
than one
> portfolio; will read the instructions when done writing this.)
>
> Then there is the problem of when you want to trade a given
contract.
> Futures contracts can be around for a year or two, or even three or
four
> years, for the convenience of the producers, buyers, and other long-
term
> players who justify the existence of futures markets. However,
traders only
> deal with them for a short part of the contract life. Omit the
last month,
> because volume drops off rapidly due to issues about taking
delivery of the
> underlying, which no speculator wants to bother with. The active
parts of
> the contract's life will be the two or three months before that,
depending
> on how many contracts there are in a year. For the S&P and T-
bonds, it's
> four contracts per year, so you follow each contract for one-fourth
of the
> year.
>
> Note that all this is a simplification, because the transition can
take
> place up to a week before or after the the last month begins;
sometimes even
> a day or two longer. It depends on the number of contracts
outstanding, the
> daily volume (a positive feedback loop), some details of the
contract
> specifications, and probably custom. Changing at the end of the
> next-to-last month seems close enough for practical testing, though.
>
> What all this amounts to is that each test must be limited to the
months in
> which you would trade that specific contract. For example, a March
T-bonds
> or S&P contract calls for testing the preceding December, January,
and
> February. So I've made a header file containing, among other
things, some
> code that limits each test to the appropriate months. (If I ever
want to
> look at a vehicle that trades more than four contracts per year, it
will be
> necessary to write another header file.) I step through each set of
> contracts by hand and, when it seems worth the bother--not often--
summarize
> the results in Excel.
>
> Until recently, I set the months-to-trade variable manually, which
prevented
> using even a single-contract portfolio. It finally dawned on me to
use
> LastValue(Month()), and that does make it reasonable to treat each
futures
> market as a unit. If I can have more than one portfolio, this will
save me
> a good deal of fiddling. Thanks for prompting me to think about it
again.
>
> However, it will not be possible to test a bunch of different
vehicles in a
> single portfolio until AB can identify the contract it's using.
This is
> mandatory for testing long-term trend-following methods, which work
only
> when applied to a variety of vehicles.
>
> Given how much better AB is than anything else I've ever tried, I
am not
> inclined to complain much about this limitation.
>
> > BTW, I suspect you got all 0's because you did not have a
positionsize
> > statement at the end of your code.
>
> Could be. My positionsize statement is at the beginning of the
code,
> because it's part of the header file, but I'll see whether it makes
a
> difference.
> ....
>
> Nope. Didn't help. Thanks anyway.
>
> Owen
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