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Right. I've noticed the same thing. While I have the continuous,
back-adjusted futures in data1, I have the continuous, UN-adjusted futures
in data2. My trade size is always 100000/closeD(1) of data2 contracts.
This will give you fewer contracts when the index level (and margin
requirements) were very high and more contracts lately.
Over time the volatility of an ND position stays pretty consistent if you
take equal dollar positions rather than equal number of contract positions.
Aaron Schindler
----- Original Message -----
From: "Chris Cheatham" <nchrisc@xxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Tuesday, April 29, 2003 5:33 PM
Subject: evaluating system tests
> I guess this fits with the recent popping drawdown discussion. I wonder
how
> others have handled evaluating system results on say ND, when the value of
> the contract has gone away so much. Right now, my approach is to vary
> position size based on the value of the contract so as to get an equity
> curve that is meaningful. Assume the equivalent futures to get to X
dollars
> of stock. Otherwise the recent results hardly make a dent in a drawdown
> figure from a few years back. Or I guess you could do a series of short
term
> tests and average them.Any other ideas?
>
> Thanks,
> Chris
>
>
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