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I have not tested the full contract, but I beleive you would see differences
bacause:
1. The volume patterns I expect would certainly be different causing price
variation
2. I beleive the large contract is traded in the pits - this may have
changed recently - creating more differences
----- Original Message -----
From: "Dickie Paria" <babui@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, April 07, 2005 8:44 AM
Subject: [amibroker] Re: Qts' on differing results in system testing
>
>
> 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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
>
>
>
>
>
>
> 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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