|
PureBytes Links
Trading Reference Links
|
Are you sure you don't mean to trade more contracts when the price or
volatility is _lower_? If we want to capture the same dollar profit from,
say, a 5% move, then we'll have to trade more contracts when the price is
lower.
Aaron
----- Original Message -----
From: "DH" <catapult@xxxxxxxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Wednesday, October 22, 2003 12:45 PM
Subject: Re: Updated Maximum Drawdown in system backtesting
> > In order to see what would be the present value of a back-test system
> > drawdown we need to re-calculate it according to the its price ratio
> > relatively to the different levels of past and present prices .
>
> That applies to other statistics in the backtest result as well. They
> should all be normalized to price or volatility. The easiest way is to
> have the system trade more contracts (shares) when the price is higher
> or the volatility is higher. Personally, I prefer volatility but price
> works fine too.
>
> # contracts = volatility / x
> or
> # contracts = price / x
>
> --
> Dennis
>
>
|