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Ara - thanks.
Another qts - for those who have tested their systems against
futures. Is there a difference in results between e-minis and full
size contracts using the same system parameters in backtesting? I
would tend to think so going by some of the results I see on
Attaincapital for R-Mesa and R-Mesa emini (for e.g).
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxxx> wrote:
> 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@xxxx>
> 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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