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> That is irrelevant when you are considering %WIN as the most important
> factor.
> Size/# of contracts only determines Gross Profit Amount.
>
> > do you know the account size that you need to hold 30 contracts?
> > Please check carefully all offers.
As Phil said, he is scaling position size to try to maintain a
reasonably stable account volatility. If you don't do this, then the
older test results in your backtest just "disappear" behind the
larger results of the more recent, more volatile market conditions.
Also, Clau, it wouldn't have taken as large account to trade those 30
contracts as you think. Because the way Phil calculates the #cars to
trade, you only would have traded 30 contracts near the start of his
test, which was 15 years ago. In current market conditions I believe
he only trades about 2 contracts.
What was the margin requirement for S&P in 1985? I don't know, but
I'll guarantee it was a lot less than it is today. Wouldn't surprise
me terribly if the margin for 30 cars in 1985 was in the same
ballpark as the margin for 2 cars in 2000. After all, the exchange
sets the margin requirements based roughly on the recent volatility.
Gary
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