|
PureBytes Links
Trading Reference Links
|
> Given that the S&P futures were essentially split 2 for 1 late last year,
> how do we reflect this fact in backtesting. Does anyone know the exact date
> when the S&Ps were cut in half from $500 per contract to $250?
> I was thinking of using something like this:
>
> If date< Splitdate then ncontr=2 else ncontr=1;
You don't (shouldn't). You set the value of a contract in the symbol
universe so TS automatically does what you are trying to do. It trades
an equal $$ amount before and after the split. Personally, I like
setting the value to 1 so the system report is in S&P points rather than
$$ (thanks hans). Then you can directly compare the old SP, the new SP,
the mini, whatever.
--
Dennis
|