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Hi Chris,
I'm sorry I don't know what's wrong with the code - but wouldn't you want it
the other way around - i.e. when the contract went to 1/2 the leverage you
would have traded twice as many contracts, not 1/2 as many -
I gather you're still working with the single-contract simulation - would
strongly suggest you try
quantity=20000/(BigPointValue*Xaverage(truerange,50)) or similar - this will
tell you the real runups/drawdowns you would have experienced -
you can ignore the fact that the contract split - just assume you would have
traded 1/2 the contracts before the split, since the leverage was twice as
great.
Good luck!
Phil
----- Original Message -----
From: Chris Evans <evanscje@xxxxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Sent: Tuesday, September 05, 2000 5:37 PM
Subject: Adjusting Contract Quantity for changing tick values
> I am trying to adjust the P&L of a system to allow for a contract's
changing
> tick values .. Does anyone know if there is a place to put in the changing
> tick values of the S&P 500 (for example) - I would love to know. I
collect
> CSI format data , end of day only, - from Genesis Data Services (3rd party
> vendor) .. If there is not a place to do this then I need to put it in the
> EasyLanguage code of the signal .. I have written a Statement :
> If CurrentDate < 981001 then ContractQuantity = 2;
> If CurrentDate > 981001 then Contract Quantity = 1;
> If Various buy Conditions = True then Buy ContractQuantity contracts at
> market;
> {Prior to 10/01/1998 the tick value = $500/pt and since that
date
> the point value = $250/p} .....
> This is not working .. How do I fix it?
> Thanks in advance.
>
>
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