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Thanks....but 2 unresolved variables remain:
1) Compound
2) BigPointValue
> -----Original Message-----
> From: Phil Lane [mailto:patterntrader@xxxxxxxxxx]
> Sent: Tuesday, November 23, 1999 9:49 AM
> 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: Phil Lane <patterntrader@xxxxxxxxxx>; <clayburg@xxxxxxxxxx>;
> <fritz@xxxxxxxx>
> Cc: <omega-list@xxxxxxxxxx>; Code List <code-list@xxxxxxxxxxxxx>
> Sent: Tuesday, November 23, 1999 5:29 AM
> Subject: RE: CL_Evaluating & Optimizing systems-Oct97,Oct98 WATCH OUT
>
>
> > 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
> ?
> >
>
> here's what I use - dolswing is the desired dollar swing per ATR. This is
> something you can relate to the account size - which you can also specify.
> On a long-term SP simulation it has you trading about 20 contracts back in
> the 80's for every 1 now. If you do this and your system is
> working well the
> profits and losses should be about the same for the duration of the test
> (instead of getting bigger and BIGGER!!!!)
>
> if currentbar>maxbarsback then begin
> value38=Xaverage(TrueRange,50);
>
> if compound=1 then
> Base_Cnt=(startact+netprofit)/startact*dolswing/(value38*Bigpointvalue)
> else
> Base_Cnt=dolswing/(value38*Bigpointvalue);
>
> if whatever then buy base_cnt contracts close;
>
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