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To drive the point home, I made a system from Bob Fulks' test code for
the average function. This is the kind of coding that any TS user unaware
of the single precision problem might do. Obviously this particular
system should never trade because Ave1 should always equal Ave2.
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Input: Length(4);
Vars: Price(Close), Ave1(Close), Ave2(Close);
Ave1 = Average(Close, Length);
Price = Close;
Ave2 = Average(Price, Length);
If Ave1 > Ave2 then buy;
If Ave1 < Ave2 then sell;
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I applied the system to INDU with BigPointValue set to 10 to simulate
the futures. As you can see below, you ignore single precision at your
own risk.
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test INDU-Daily 01/05/1970 - 03/17/2000
Performance Summary: All Trades
Total net profit $ -21689.59 Open position P/L $ -1986.20
Gross profit $ 52508.70 Gross loss $ -74198.30
Total # of trades 30 Percent profitable 50%
Number winning trades 15 Number losing trades 15
Largest winning trade $ 17185.70 Largest losing trade $ -35388.70
Average winning trade $ 3500.58 Average losing trade $ -4946.55
Ratio avg win/avg loss 0.71 Avg trade(win & loss) $ -722.99
Max consec. winners 6 Max consec. losers 3
Avg # bars in winners 93 Avg # bars in losers 405
Max intraday drawdown $-141925.80
Profit factor 0.71 Max # contracts held 1
Account size required $ 141925.80 Return on account -15%
--
Dennis
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