Futures testing

[hzqt1k]

David,

I don't seem to be getting correct testing results when testing commodities. I run a system, say Turtle Breakout against a basket of commodities, say C, JP, EC, ED, TY from 1990 thru current day. The results I get don't seem consistent or close (very low) compared to other forums such as turtletraders.com.

Would it be that the Initial Margin amount and tick values are different for each of the above commodities?

Is it possible to enter the number of contracts as a position sizing model?

Also, how could I cater for the fact that I trade 3 contracts of EuroDollar and 5 of Corn versus 1 of Crude, etc.

Thanks,

[David Samborsky]

Hello Murray,

Yes it is quite possible that you may experience different results compared to the results from other simulators, particularly simulators that only do a points only simulation. Currently, when testing commodities TradeSim calculates the position size (number of contracts) based on the Initial Margin, available trading capital and the position size model used.

Using the text trade database file format Version 3 of TradeSim allows you to specify diffferent Initial Margins and Point Values for different Commodities thereby allowing a mixture of trades from different commodities within the one simulation whilst maintaining the correct Initial Margin and Point Value for each trade. For more information please refer to document TB-2 available from our download site.

Specifying X number of contracts rather than X number of dollars is something that we will look at adding in the future.