|
PureBytes Links
Trading Reference Links
|
Good point....
I am having trouble (who isn't ?) determining optimal contract size or the
usual "size-of-bet" problem as it applies to trading.
I like the volatility-based approach....Any ideas on exact implementation ?
> -----Original Message-----
> From: Phil Lane [mailto:patterntrader@xxxxxxxxxx]
> Sent: Monday, November 22, 1999 12:07 PM
> To: M. Simms; clayburg@xxxxxxxxxx; fritz@xxxxxxxx
> Cc: omega-list@xxxxxxxxxx; Code List
> Subject: Re: CL_Evaluating & Optimizing systems-Oct97,Oct98 WATCH OUT
>
>
>
> ----- Original Message -----
> From: M. Simms <prosys@xxxxxxxxxxxxxxxx>
> To: <clayburg@xxxxxxxxxx>; <fritz@xxxxxxxx>
> Cc: <omega-list@xxxxxxxxxx>; Code List <code-list@xxxxxxxxxxxxx>
> Sent: Monday, November 22, 1999 8:40 AM
> Subject: RE: CL_Evaluating & Optimizing systems-Oct97,Oct98 WATCH OUT
>
>
> > Agreed.....great post.
> >
> > In backtesting......regarding Max Drawdown.......watch-out for Oct 1997
> and
> > Oct 1998 time-frames !!!
> > Your system may be terrific but the max drawdown may have occurred
> somewhere
> > in these times of high volatility and drastically fast down-moves.
> >
>
> It could also be the result of a "single contract" simulation - on an
> otherwise good system. Try normalizing the contract size for volatility to
> (attempt) to get a constant dollar swing in your account. Otherwise the
> swings (inc drawdowns) will probably increase into the future - i.e. the
> backtest is unreliable
>
|