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As far as I'm aware they still hold you to a single-contract simulation -
I'm sure I'll be corrected if I'm wrong - which can give some extremely
misleading test results!
S&P for example - in 1982 the futures moved about 1 point per day but now
they move about 20 points per day. So in reality your backtest should trade
about 20 times the contracts back then as compared to now. If you optimize
your system without taking this into account you will be most likely screwed
up! I.e. a 10 point loss back in the 80s was quite a bit more serious than
it is today. Nobody seems to grasp this point, least of all several popular
system vendors I know of.
At the risk of getting yelled at,
Phil
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