Location: Citrus Springs, FL
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 - 331 downloads)
Attached file : Futures Trades.pdf (140KB - 274 downloads)
Attached file : Futures Equity Curve.jpg (142KB - 1206 downloads)