|
PureBytes Links
Trading Reference Links
|
Ara - thanks again. I did some checking on Google and found this PDF
from AttainCapital that answered my qts on diff between eminis and
full size
http://www.attaincapital.com/pdf/reality.pdf#search='trading%20system%
20comparison'
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxxx> wrote:
> 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@xxxx>
> 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
> >
> >
> >
> >
> >
> >
> >
------------------------ Yahoo! Groups Sponsor --------------------~-->
What would our lives be like without music, dance, and theater?
Donate or volunteer in the arts today at Network for Good!
http://us.click.yahoo.com/Tcy2bD/SOnJAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|