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Yeah, what Gary said. :-)
> Cont. contracts or back adjusted contracts are a real turn off, I think.
Whatever floats your boat. I use them for system development and
testing. I wouldn't enjoy working without them.
> Stridsman points out the risk of using the "wrong" kind of contract oout in
> his book.
Stridesman makes several logic errors in his book. I've debated him
publicly on the matter but he "just doesn't get it." Obviously, he has a
firm grasp of the obvious when he says doing things wrong is wrong. My
answer to that.... 'well duh.' :-) Slightly more serious answer, read
Bob Fulks' article. It's short but his conclusions are spot on. It
covers the subject much more completely than any book I've seen.
>I always felt there is only one way to really test systems and
> that is with the real contract.
There is always more than one way to do things. Any trader should know
that.
Bottom line, your backtesting method should give trades at exactly the
same date and time as they would have occurred in real trading. Your
profits and losses should be identical to those that would have occurred
realtime given your money management strategy. My favorite for
backtesting is to risk an equal dollar amount on each historical trade.
It is quite easy (well maybe not so easy - it does involve a few lines
of code) to do that using Tradestation and continuous contracts. I'm
sure it's available in the archives somewhere. I really don't have the
energy to go through the whole thing again.
Stridesman claims this cannot be done in Tradestation. After being shown
HOW it can be done in Tradestation, he still claims it cannot be done
and you must use Excel. It sells more books I guess. Judge his
credibility for yourself.
--
Dennis
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