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Futures are highly leveraged. IF you had a system with a very high
percentage of winners your results would be correct. However, this is
probably not the case (if it's too good to be true...)
Most likely you have something setup wrong or are looking into the
future for results.
You can reduce your exposure by using:
myEquity = 100000; //or whatever amount you want
SetOption("InitialEquity", myEquity);
PositionSize = -10; //to trade 10% of available equity
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of sslack88
Sent: Tuesday, June 06, 2006 20:16
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Over Exaggerated Risk Adj. Returns with Futures
Backtest
Whenever I run a futures backtest I am getting Over Exaggerated Net
Risk Adjusted Return % and Risk Adjusted Return %. This probably
has something to do with the small margin requirement and a
portfolio of $100,000+ dollars. Has anyone else had this issue?
How do you get around this with futures backtests?
Best,
Steve
P.S. - I am get percentages like 2,000% and 4,000%, etc.
Reference:
Exposure % - 'Market exposure of the trading system calculated on
bar by bar basis. Sum of bar exposures divided by number of bars.
Single bar exposure is the value of open positions divided by
portfolio equity.
Net Risk Adjusted Return % - Net profit % divided by Exposure %
Risk Adjusted Return % - Annual return % divided by Exposure %
Please note that this group is for discussion between users only.
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