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Solution is quite simple:
- Case A setup is correct.
Why profits are 100 times larger than expected?
- Because CD is trading at 0.6000 level and not 60.00 level.
How to fix it? Again, simple:
In Pinnacle $CLCLONG.ASC you divide CD prices by 100. e.g.
C:\PINNACLE\ASCI_BCK\CD.ASC
#STARTING DATE = 01/03/1978
CD_CLC 1/100,2/100,3/100,4/100,6,7
----- Original Message -----
From: Dennis Holverstott <dennis@xxxxxxxxxx>
To: Bob Fulks <bfulks@xxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Monday, February 28, 2000 4:29 PM
Subject: Re: Symbol Universe Problem
Profit numbers come from the setting of "Value" in the dialog box or
"BigPointValue" in EL. You have 100,000 for all three of your examples
so they all report the same profit.
Personally, I usually set it to 1 for backtesting single contracts so
the P/L numbers are in points rather than dollars.
Bob Fulks wrote:
>
> I am having a weird problem with TradeStation 4.0. The profit figures
reported in the System Report are a factor of 100 too big.
>
> Example: Symbol: CD
>
> Universe Settings - I tried three different cases shown as A, B, and C
below (I made these changes in the "Format Price Data":"Settings":"Universe"
dialog box while using Pinnacle ASCII data):
>
> Case: A B C
>
> Display Value: 1/10000 1/1000 1/100
> Min Move: 1 1 1
> Value: 100000 100000 100000
>
> I print out the values of the TradeStation functions and they give the
following values:
>
> Case: A B C
>
> BigPointValue: 100,000 100,000 100,000
> MinMove: 1 1 1
> Point Value: 10 100 1,000
> PriceScale: 10,000 1,000 100
> 1 point: 0.0001 0.001 0.01
>
> So far all of this seems correct. The correct values are case A for the
symbol CD, as I understand it.
>
> I then have a trade:
>
> Buy 1 contract at 60
> Sell 1 contract at 63
>
> But when I look at the System Report in all three cases I get:
>
> Case: A B C
>
> Entry P/L 300,000 300,000 300,000
>
> As I understand it, the numbers should be:
>
> Case: A B C
>
> Entry P/L 3000 30,000 300,000
>
> So I am always getting a value equal to $3 times 100000 no matter how the
price scale is set, even though the TradeStation functions are showing the
effect of the different price scales correctly.
>
> So my profit is 100 times what it should be for the correct settings of
case A.
>
> I just spent an hour on the phone with Omega Tech Support and they
confirmed that Case A are the correct settings and could not figure out why
I am getting profit figures 100 times too big.
>
> It appears as if changing the symbol universe settings as I did changes
them for some things and not for the profit calculations.
>
> Any suggestions would be appreciated.
>
> I am using TS 4.0 Build 27.
>
> Bob Fulks
--
Dennis
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