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fiorenzo  
#1 Posted : Wednesday, October 1, 2014 2:26:01 PM(UTC)
fiorenzo

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Hello,

why do I get such different results in optimized variables (Opt) when using points instead of money in system testing?

I know point only testing is to be used for commodities and futures and real money for securities

But if I perform a system test with an opt on S&P500 using point and one using real money, the results I get from the two give me much different results as for the better opt.

Are results obtained with real money "capitalised", so that gains are fully reinvested? (this coul be a reason why there is such difference)

Thank you,

Fiorenzo

thanks 1 user thanked fiorenzo for this useful post.
sandrajames on 9/19/2018(UTC)
fiorenzo  
#2 Posted : Wednesday, October 1, 2014 3:10:23 PM(UTC)
fiorenzo

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I give myself an answer to the above:

Using real money vs points returns different results in optimization variables because real money considers full re-investing previous gains (I see no other way to test using a fix number of units, when I try I obtain 0). So gaining an edge towards optimizations better fitted to the first chronological part of the period tested.

For me who use to invest a fix amount in a security I see using points more suitable.

Your comments much appreciated

MS Support  
#3 Posted : Monday, October 6, 2014 8:23:03 PM(UTC)
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Originally Posted by: fiorenzo Go to Quoted Post

I give myself an answer to the above:

Using real money vs points returns different results in optimization variables because real money considers full re-investing previous gains (I see no other way to test using a fix number of units, when I try I obtain 0). So gaining an edge towards optimizations better fitted to the first chronological part of the period tested.

For me who use to invest a fix amount in a security I see using points more suitable.

Your comments much appreciated


 

You can test using a Number of Units, this is the default option when testing (Number of Units 100).  Keep in mind that depending on what symbol you are testing and your "initial equity" amount, you may not be able to buy 100 units if this would exceed your account balance.  The default Initial Size for your account is only 10,000 so testing against an index or ETF or other high-share value symbols may generate 0 trades unless you incress your initial equity amount, or reduce the Number of Units being purchased.

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