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I have Trading Recipes and agree that it can do things no other program I
know of can achieve. And, it's not the least bit "clunky." There is,
however, a subtlety to one of its features which is not immediately obvious
but which any user needs to be aware of. As stated, TR will test trade a
basket of commodities (using EOD continuous contracts) incorporating money
management (MM) rules. This backtest simulation produces a specific series
of trades. A unique feature of TR allows the user to view the difference in
the resulting equity had the first trading date been a day later, two days
later, etc. It's kind of a starting-date-walk-forward and it's a real eye
opener! I believe that there is a glitch here, though, which is more or less
important depending on the number of commodities in the basket, the typical
trade frequency and duration, and the MM rules. It appears to me that the
results of the walk-forward are derived from the reapplication of the MM
rules to the *particular trade sequence originally obtained*, changing
position size as per MM rules. But, with a different starting date and a
rule prohibiting multiple entries in the same direction (or just MM rules)it
would not necessarily be just these trades which would be taken, especially
in the early part of the run, but possibly all along. In other words, a
trade falling within the shortened time-frame which showed up on the
original sequence might not be taken at all with a later starting date.
There is a ripple effect: starting later meant not being in some
earlier-starting trade which could have freed up enough account equity
(according to MM rules) to take some trade in another commodity which was
not part of the original sequence, this open trade preventing the ability to
take yet another trade which *was* part of the original sequence, etc. To be
accurate the whole simulation, MM rules *and entry/exit rules*, needs to be
re-run for each succeeding starting date.
I have TR v.2.07, *not* the current version (3?, 4?). I don't know whether
or not this has been changed in any later versions. If it has, I'd be
curious to know.
This matter aside, TR is a great product.
Regards,
njb
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