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With regards to PositionScore= statement, see the ReadMe from the
latest beta.
With regards to continuous contracts, maybe not MORE accurately but I
wouldn't think less accurately either, especially if they are
properly created.
--- In amibroker@xxxxxxxxxxxxxxx, "Owen Davies" <owen5819@xxxx> wrote:
> Fred wrote:
>
>
> > Do you have a PositionScore = statement ?
>
> No. What is it? The term does not show up in a search of the AB
help file.
>
> > 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.
>
> Well, more conveniently, at least. However, it is hard to imagine
that test
> results from a continuous contract could reflect real-world trading
more
> accurately than results from unaltered data would.
>
> In fact, my experience is that with continuous data profits end up
looking
> one-fourth to one-third better than on real contracts, and
drawdowns are
> reduced by that much or more. The effect seems worst on short-term
> techniques, perhaps in part because you have more trades over which
to
> cumulate small errors. And when a contract break is not faired
adequately
> it can trigger a spurious entry and create the appearance of a
profit on the
> closed trade. For long-term trend following, these problsm also
hide the
> effects of rolling over from one contract to the next. It could be
that I
> just don't look at long-term techniques often enough to know that
the
> distortions with them are just as bad as those in tests of swing
trading.
>
> Just as one example, I used to have two continuous contracts for
the S&P.
> On one short-term system, the tests gave a profit of around +640
points with
> one contract and a loss of nearly -280 points with the other. (The
system
> did not trade very often, or well.) The contracts covered exactly
the same
> five-year period, but had been calculated with different methods.
At this
> point, I do not recall exactly how they were grafted together; it
was some
> years ago. The methods were built into the Unfair Advantage
package. I had
> already suspected that continuous contracts introduced unacceptable
> problems. This test convinced me that they could be a lot worse
than I had
> imagined.
>
> Nonetheless, I do test with continuous contracts as a first screen,
on the
> theory that if a system won't appear to make money on them, it has
no hope
> of making it on real contracts. If I ever run into a technique
that would
> look better on real contracts than on continuous ones I will miss an
> opportunity, but this is a compromise I can live with.
>
> If your results vary significantly from mine, I would love to hear
more
> about your use of continuous contracts.
>
> Thanks for your thoughts.
>
> Owen
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