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Futures will mimick the index, but there are a couple of differences:
1. There is a premuim (sometimes negative) added to futures prices as there
is a carrying cost
2. Futures are more volatile, therefore the short term price fluctuations.
----- Original Message -----
From: "Dickie Paria" <babui@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, April 07, 2005 7:49 AM
Subject: [amibroker] Qts' on differing results in system testing
>
>
> Allow me to set up the situation before asking the qts. I've recently
> purchased AB and am a newcomer to AFL. I tend to write systems based
> on simple bar patterns since those are easiest to program. I study
> bar charts and have noticed a bar pattern that can be taken advantage
> of by selling short ONLY. I wrote the program to backtest it (1 line
> only with 4 additional lines for Short, Shortprice, Cover, Coverprice
> rules). Its non-optimized. The trade settings are $100k, no margin,
> $18/trade, buy next day and sell on close. I tested it on ^DJI index
> on walk forward basis - meaning, I started on 3/28/72 (picked at
> random) to 3/27/73 and backtested and then 'walked forward' each year
> to 2005. The results are outstanding! One losing year (-7%) and the
> rest winning years ranged from 3% to 100+%. Highest system drawdown
> is under 30%.
> When I tested the system on DIA on walkforward from 2000 to 2005, my
> results were still excellent but less than ^DJI. For e.g - one yr, I
> got 122% net profit on ^DJI and 33% on DIA. When I tested ^RUT and
> IWM, I got opposite results. ^RUT net profits for 1 yr were 20+% but
> IWM was 88%. For ^NDX, net profit was 300+% for 2000-2001 but QQQQ
> for same time period was 404%.
> QTS - Can system results be SO DIFFERENT when testing between indexes
> and etf's ?
> I have never traded futures before - and my question is - do futures
> follow the index exactly or are they different like etf's?
> I use Yahoo EOD data.
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
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