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If in 2010 the SP is at 5000 you would look at 1999 and trade 3 contracts in
backtesting. If the market is going down to 600 in the year 2000 that you
might wanna trade 2 contracts to get the same exposure to the ,market as you
get with the same system at the moment (SP~1200). Makes sence to me. You
would be able to increase the number of contracts in future then by the
increase of your equity, if you like.
Vk
***-----Original Message-----
***From: TradeWynne@xxxxxxx [mailto:TradeWynne@xxxxxxx]
***Sent: Tuesday, October 19, 1999 7:25 PM
***To: VKnapp@xxxxxxxxxxx; pierre.orphelin@xxxxxxxxxx;
***omega-list@xxxxxxxxxx
***Subject: Re: PROBLEM in long-term sp backtesting!
***
***
***In a message dated 10/19/99 10:08:34 AM Pacific Daylight Time,
***VKnapp@xxxxxxxxxxx writes:
***
***> Excample of my method:
***>
***> SP closing price today = 1200 = HHE (lets asume that was the
***highest high
***> over the whole period)
***> SP closing price 1994 = 450
***> Number of contracts to trade = abs(HHE/C)
***>
***
***Do you have code to get the "HHE" for 1999 in 1994? Better yet,
***how about
***code the "HHE" for 2000?
***
***Bill Wynne
***
***SmartTrades.com
***
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