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Yes and No .. they do not hold you to trading a 1 lot .. in fact the whole
MM section is devoted to figuring how many contracts to trade and when to
add a variable number ..BUT .. they use performance data as the basis for
analysis that wants to start with a 1 lot system built in EasyLanguage and
analyzed in the performance analysis report of TradeStation .. If you want
to normalize results for changing ATR or margin then you are on your own
----- Original Message -----
From: "Phil Lane" <patterntrader@xxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Tuesday, August 29, 2000 1:28 PM
Subject: Re: rina2000 help
> 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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