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Phil,
Your concept is excellent for testing the system going
forward.
However, I like many actually traded these systems in the
early days of their applications and in fact we did trade
fixed number of contracts based on what we thought was
our capability to take risks.
I do not think it is wrong to represent SINGLE CONTRACT
or FIXED NUMBER OF CONTRACT historical results
since that PROBABLY more nearly represents the trading
that would have occurred during that historical time period.
I also think it is proper to only evaluate REAL contracts
that were in existence using REAL values for each point
change and your current approach certainly does not do
that.
There ARE merits to the evaluation you have made but
your criticisms of others approaches may not be valid.
Clyde
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: <clydelee@xxxxxxx>
7910 Westglen, Suite 105 Work: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
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----- Original Message -----
From: "Phil Lane" <patterntrader@xxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Saturday, March 04, 2000 09:35
Subject: [RT] Re: Simple Trading System [also sold commercially]
> In that last note I calculated the position size as follows:
>
> value99=2000/(xaverage(truerange,50)*bigpointvalue);
>
> A couple things:
> 1. My scaling was set for $50 per point to simulate e-mini contracts.
The
> above statement will buy enough eminis to swing $2000 per average true
> range. If your SP scaling is set for $250 then you will need to use a
number
> bigger than 2000 or else your contract size will be less than 1 at
some
> point during the simulation.
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