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Hi folks... I have a question about backtesting in futures mode. If
these questions seem obvious, Im a newbie to futures...
Im using spread-betting. Lets say Im betting £1 per point. As Im sure
you know, for every "tick" the instrument makes, I win or lose £1.
My broker uses every $0.01 as a tick For T-notes. But for Robusta
coffee every tick is £1.
For example, lets say I make a 10 yr Tnote up-bet and the buy-in
price is 114.86. It goes up, and the sell-out price is 115.86. I win
586 minus 486 points, or £100.
Also, each instrument has a "notional trading requirement" or NTR.
NTR x bet size = margin required. i.e. for T-notes the NTR is 60.
Now, to test a trading strategy in Futures and Portfolio Mode, I
guess I need to fill in In the "Information" part of the ticker in
Amibroker. Im confused by:
1)Round lot size: ?? Should I use 0 to allow fractional shares? Im
not actually buying any...
2) Tick size: ?? Just leave as 0?
>From what Ive read, Amibroker doesnt seem to need these for futures
testing. Am I right?
3) Margin Deposit: I guess this has to be 60. At least if Im making a
£1 per point bet... However, if my £-per-point is calculated by my
system, based on my £-risk and chosen stop level, and varies with
each instrument and each trade, how do I make sure Amibroker
calculates the right margin its using in the portfolio test?
4) Point value: Should I just use 1 here for all isntruments? Or
should I use tick size as, say, 0.01 for T-notes (where each tick is
0.01) and 1 for coffee (where each tick is a whole $)? How does
Amibroker know to use cents or dollars as ticks? For some instruments
each tick is $0.01, for others $0.1 and for others its $1.
Another thing confusing me is how to control bet size via the system
I write. Say my maxrisk is £300, I buy in at 114.86 and my system
puts my stop at 114.36 (which would be 50 ticks doing it manually).
What code should I use work out the betsize?
Basically I want to calculate:
betsize:= maxrisk / (number of ticks x point value)
Whats confusing me is that for Tnotes the ticks are cents and for
coffee the ticks are whole dollars. Amibroker would calculate <number
of ticks> in the above example to be 0.5! So I need to multiply it by
a factor of 100. But other instruments I would need to multiply by 10
or nothing.
Also - I guess point value can be set from within the system. Point
value I guess is the same as bet-size. Would it be best to keep point
value at 1, and use some variable multiplier calculated in the
sytatem, or calculate and set pointsize directly from the system code?
I know Im probably confused by "point" and "tick" - but can anyone
set me straight?
Thanks a lot!
Andy
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