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At 5:01 PM -0500 4/20/02, Chris Cheatham wrote:
>I'm stumped...testing a year or so of 15 min data on SP cash versus adjusted
>continuous SP futures. Testing with SP cash the max drawdown is 15k, testing
>with sp futures, it is 330k. There is no trade or series of trades that seem
>to cause it...just shows up that was in the system report. Any ideas?
You do not say how many contracts you are trading. Are you taking
into account the difference in BigPointValue? The following code will
get the trade size the same in the two cases:
Con = 250 / BigPointValue;
Buy Con contracts next bar ....
Bob Fulks
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