LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile | 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 - 428 downloads) Attached file : Futures Trades.pdf (140KB - 373 downloads) Attached file : Futures Equity Curve.jpg (142KB - 1398 downloads) |
