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I had hoped someone would post Bob Fulks Back-Adjusting Contracts.
Cool piece isn't it. Far to complex for me. Someone mentioned I
didn't like back adjusting. Well ok. I've read and thought about all
the ways to adjust and the results, errors, problems and ways it skews
results over long periods. Yeah moving averages may still work but
how about you are testing an idea on a long period of data that back
adjusting has caused the minimum movement to be a large part of the
price. Doesn't that skew your results? There are lots of things that
skew them and I'm not smart enough to deal with it. So my idea is
slap those contracts together every three months with a big old gap in
them. Code your tests to not trade until things normalize. The way
you are using pure market data just like real world. All you do is
skip a few minutes or hours every three months. I like that simple
life. I say test your ideas because that is what I do. Systems are
not my deal. I may build one but it is to tell me what happens long
term about one idea. That knowledge may help me be a better trader.
So Sudhir when you say "gave me explainations about some other things
I was noticing in my trading system backtest results" then you have
made a big leap in my books.
Jimmy
Sunday, January 30, 2005, 8:18:00 PM, you wrote:
SM> Hi Dennis,
SM> Thanks for forwarding me this note. This not only
SM> clarified my question but also gave me explainations
SM> about some other things I was noticing in my trading
SM> system backtest results.
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