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> I did not want to change the subject just point out that it is of little use
> to adjust position size based on an individual market.
To get an accurate backtest with TS, you need to adjust trade size so
each trade risks an equal number of dollars. That makes the results of
each trade equivalent to a percentage (of something.) You can define
risk several ways, e.g. a percentage of price, a percentage of
volatility or a percantage of average true range. For the SP/ES futures,
I like ATR but using price would give you a more conventional
"percentage."
contracts = xx/price
contracts = xx/ATR
etc.
> As far as I remember T. Stridesman always pointed out the importance of
> portfolio testing
Whatever. My portfolio is ES and cash.
> I believe he also introduced ratio adjusted contracts.
I don't think so. You might want to ask the folks at CSI about that.
> He is one person who knows what he is talking about.
He seemed remarkably unable to understand what I was saying when we
debated the whole "percentage" thing. I think it was on this list but it
may have been on one of the others. I suspect he was already writing his
book and he didn't want to hear that his book and his excel program were
unnecessary and simply varying trade size with some EL code would
accomplish the same thing. :-)
I've already done this debate several times over the years. Those who
care can consult the archives. I don't have the energy to do it again.
--
Dennis
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