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Fully agree with you on the SP stats and the impact of contract size. But what
is to be gained from lashing at other vendors? If people are buying without
thinking, well too bad for them. It is not necessarily malicious from the
vendors part either, might be just plain oversight or lack of trading matters
awareness. Also it can be a philosophical difference of opinions about how to
treat this issue.
Anyway, I would just content with promoting this aspect for my products, but
leaving others to their own devices...
FWIW
Gwenn
Phil Lane wrote:
> 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.
>
> 2. In the 1980's the point moves in the SP were about 1/20 of what they are
> now. So for a given account size you'd have traded 20 times the contracts
> back then as you would now. The EL statement above will do this.
>
> 3. There are a number of commercial SP systems available, some from
> contributors to this list, that justify their existence with a long-term
> backtest. But not a single one takes this factor into effect! In my opinion
> these systems are tragically FLAWED. The backtests do NOT represent realitic
> statistics, especially regarding runups and drawdowns.
>
> 4. Having been made aware of this, any system vendors possessing a modicum
> of integrity should immediately modify their systems as described and re-run
> their backtests. I suspect things will CRUMBLE before your very eyes. Just
> imagine how some of those losing trades from the past will look when you
> trade 10 -20 times the contracts.
>
> 5. I have attempted to communicate privately with one such vendor about this
> issue but the email silence was deafening. I am now considering taking it
> public. This is a very major misrepresentation that needs to be exposed. You
> would think that a professional system vendor would know better.
>
> rgds phil
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