Some
ideas:
Futures is affected
by the margin deposit, $3000 for NQ for example, so it invests in $3000
chunks. This is likely not all your cash so the other cash is not in the
market and affects exposure. However, this doesn't even come close to your 10%
exposure value. Do you have any stops? Do you have a PositionSize somewhere
using less than -100? (If not, I think you should because in my testing the
leverage of futures will bankrupt any system I have ever seen if you trade all
your money because you can easily lose more than 100% on a single
trade.)
-----Original
Message-----
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ara Kaloustian
Sent: Wednesday, December 28, 2005
15:49
To: AB-Main
Subject: [amibroker] Backtest -
%exposure
Doing some testing with futures (1
min data).
Am long or short all the time. The
data for closing one position and opening another looks fine (done at same
time).
Problem: The % exposure in summary
statistics seems incorrect. It is 10.20%. I would expect that it should
be 100%. This of course messes up Annual return and
RAR.