Re: Bias in Testing

["Carroll Slemaker" <cslemaker1@xxxxxxxx>]

I'm afraid I'm missing something here because a 10-point rise in the DJIA in
1940 was a  MUCH  more significant move than a 10-point rise today.  On the
other hand, a 10% rise in 1940 is exactly as important to an investor as a
like rise today.

Also, an N% rise in a raw price series should correspond almost exactly with
an N% rise in an adjusted version of the same price series so long as the
time span of the change is relatively small (small relative to the lifetime
of the respective contract during its status as the front contract).

Regards,
Carroll


----- Original Message -----
From: "jz" <jz@xxxxxxxxxxxxxx>
To: "Carroll Slemaker" <cslemaker1@xxxxxxxx>; "Mel" <melsmail@xxxxxxxxxxx>;
"OmegaList" <Omega-List@xxxxxxxxxx>
Sent: Monday, July 10, 2000 1:32 PM
Subject: Re: Bias in Testing


> One factor that must be considered when back testing is never to use
> adjusted price data with systems which use percentages as a trigger.  In
> real time trading, the % factor will not be the same as the back tested
one
> rendering the back test worthless.
> Regards, Jack.