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LSJ

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Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

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Subject : RE: Most useful PortSim Alloc Method, and Enhancem
Posted : 8/28/2018 10:11 AM
Post #45275 - In reply to #45234

This is a bit of a crossover subject between futures and ATM but the discussion was started in ATM.
I am interested in applying ATM techniques to futures trading. A couple of the mechanics involved on which I have questions is, for futures, how does OT value the cost of entry for a position. The stock calculation is straight forward but for futures does OT use the margin value listed in the database or does it just use the $1/pt as in stocks (and the selected leverage)?

I have run a futures profile with a simple ATM % equity. I have circumvented the question of what does % equity do with futures by limiting the simulation trading parameters to a max shares of one. Examining the trades I have verified that the point calculations for P&L are correct.
Here is the result for a $25000 account with no leverage for a period of 5 years. This is an early result without a lot of tweaking. Because of the huge leverage in futures and the potential huge losses using pivot points, etc I have added fixed loss tops to the strategies.







[Edited by LSJ on 8/31/2018 11:25 AM]

Attached file : Futures Perf Report.pdf (35KB - 370 downloads)
Attached file : Futures Trades.pdf (140KB - 318 downloads)
Attached file : Futures Equity Curve.jpg (142KB - 1264 downloads)

Deleting message 45275 : RE: Most useful PortSim Alloc Method, and Enhancem


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