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Hi Jan:
An item I would like to add to the wish list is for the System Tester to be
able to track and calculate futures contracts testing in dollars. A full one
point move in a stock is, $1. In futures contracts it can vary anywhere from
$50 for grains, to $125,000 for currencies, depending on where the data
supplier places the decimal point. (My supplier is CSI and they report
currency prices as .7879 for Yen, for example, when it is really 78.79 with a
"real" 1 point move value of $1250.) It would sure be nice if MS would allow
for a "conversion table" so that the System Tester could calculate a realistic
profit/loss. This inherent problem does not currently allow a resonable value
for a broker commission, because it accepts only percent (a sliding value), or
a dollar amount which it basis on the one point one dollar rule. In reality,
futures commission is a flat rate per contract and varies very little between
contract types. This would also allow a realistic dollar value stop loss
placement, which is currently not available for futures contracts.
One more thing that is flawed in the System Tester and should be corrected is
that in its profit position (wins/losses - total profit/loss) it does not show
the open position profit/loss. You can find that, by going to a further
detailed report and searching through it, but this should be shown in the
summary level of profit/loss. This is probably more critical to futures
contracts than to stocks, as testing of futures is more likely to be over
several contracts of limited duration, and printing (or sending to a file) of
the summary profit/loss misses this very valuable piece of information. Many
times I have run system tests which show a loss, when in reality the system
did very well and was in a long term open winning position at the end of the
test.
Jim Brewster
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