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A couple of questions on constructing equity curves. I am using
Chartscanner to export information on equity curves to a .csv file and then
using Excel to consolidate the data into a single consolidated equity curve.
Problem I am having is that equity is only reported on days that the
exchange is open - so total equity can take a dip where futures exchanges
take holidays on different days. Anybody have a quick and dirty solution?
Second any recommendations as to what beginning account equity should be
when constructing the equity curve. Obviously if smaller equity number is
used makes for more impressive looking equity curve.
Third is any sort of compounding generally taken into account? That is if
you are trading 1 contract with $10,000 of equity - presumably if your
equity doubles you would then trade 2 contracts. Two possible methods: vary
number of contracts based on equity calculated for that future which means
you trade more in the futures which have performed best so far in the
simulation. Second method is to calculate contracts based on total
portfolio equity - which I'm not sure can be calculated in TS as you are
trading the system.
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