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Back testing the S&P and trading it or two different matters. No one comes
back from S&P land alive. Oh. There are exceptions. But you have a better
chance of talking to the chief execujtives at Omega on the phone.
-----Original Message-----
From: Gaius Marius <magnus@xxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Date: Thursday, October 08, 1998 10:24 PM
Subject: Backtesting theS&P
>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;
>
>Where "ncontr" determines the number of contracts we can trade (where in
>this case, we're trying to reflect using 1 contract).
>
>-----------------------------------------------------------------------
>Never, ever, invest any money in a fund
>whose principals include financial academics.
>
>-from www.adtrading.com
>
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