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JTrader,
After sending my previous response it occured to me
that I need to make a correction with regard to
futures contract backtesting.
Dividing current account balance by the margin
requirement for the contract being tested will not
produce results that emulate Stridsman's percentage
based measures because the position size is not being
regulated by the level of the market (I haven't done
much work with futures, so I'm sure some of the better
known o-listers might have somthing more productive to
add on this).
Dividing a constant hypothetical account balance by
the closing price does work well for stocks though,
because the trade size IS regulated by the level of
the market. For example, with a $10,000 account size,
the system would buy 125 shares of an $80 stock and
100 shares of a $100 stock. If both stocks advance by
1%, the account equity would increase by $100 (1%
return on $10,000) in either case.
Lance
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