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Terry,
I'm trying to do this the easiest way, so all I have
done is download the ^GSPC index back to 1950 and
backtest it with a margindeposit of 20000, a tick
value of .1 and a pointvalue of 250.00. This is for
the full contract.
I am not sure if this is accurate enough, but Im only
doing it for research purposes at this time.
The results from backtesting seem in line, but when I
test back towards 1950 and 1960, the system doesnt
trade because the margin deposit is too high, as its
connected to the position sizing algorithm. Ive
consider setting the margin deposit to 20*C for the
S&P500. But Im also worried that the pointvalue back
in 1950 may have been different. Anyone have
experience with this?
--- Terry <MagicTH@xxxxxxxxxxx> wrote:
> Eric,
>
>
>
> I assume you have continuous contract data already?
> If not you can use
> the index for daily tests. Note: for ER2 contracts,
> the $RUT index is
> quite close for the daily close, but it's way off on
> the open, based on
> recent samples.
>
>
>
> You "might" be able to do the following, but I am
> not sure. Give it a
> try as it works in my futures testing code, but I
> have not tried to
> change values over time. You would probably need to
> put the futures
> values into an array or possibly into the custom
> backtester. Somehow I
> don't think the backtester will pick-up on these
> values changing over
> time.
>
>
>
>
/////////////////////////////////////////////////////////////////////
> Futures values
>
>
>
> if (StrLeft(Name(),2) == "ES") {PointValue = 50;
> TickSize = 0.25;
> MarginDeposit = 3938;}
>
> else if (Name() == "SPX-CBOE-IND") {PointValue =
> 50; TickSize = 0.25;
> MarginDeposit = 3938;}
>
> else {PointValue = 1; TickSize = 0.01;
> MarginDeposit = LastValue(C);}
> //let's stocks go thru (more or less)
>
>
>
> /* What I would change above is add/substitute "if"
> tests for a
> DateNum() or Year() so:
>
> if (Year() < 1960) set those values;
>
> else if (Year() < 1970) set those values;
>
> etc. */
>
>
>
> --
>
> Terry
>
>
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of Jerry Laster
> Sent: Monday, October 23, 2006 14:49
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] backtesting contracts
>
>
>
> Would testing SP-500 solve your problem? The
> patterns should match
>
> (although not the values). Not sure about the point
> value changing
> though
>
> (I only trade e-minis).
>
>
>
>
>
> On Mon, 23 Oct 2006 15:50:01 -0400, eric paradis
>
> <thechemistrybetweenus@xxxxxxxxx> wrote:
>
>
>
> > Can anyone explain how to backtest the S&P500 back
> to
>
> > 1950 using a continuous contract?
>
> >
>
> > It seems that the margin deposit and point values
> need
>
> > to be changed as the contract moves back in time.
>
> >
>
> > What can I do to solve this?
>
> >
>
> > Thanks,
>
> >
>
> > Eric
>
>
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