Hi, In portfolio backtest of a futures symbol, I apply a simple antimartingale way of position sizing by indicating < positionsize= -50; > There are about 400 historical trades.
When looking at the tradelist of the portfolio backtest, I found that in the beginning one hundred trades or so, the number of the contract traded changes nicely according to the result of the individual trades plus the effect of the sizing algorithm , increasing or decreasing by one contract at some point co-defined by the margin requirement of the contract. Thus the contract traded increased from 5 contracts to 11 contracts. Then something strange happens: after a small losing trade, according to the cum profit ,the initial equity and the margin requirement, the number of contracts to be bought/shorted in the next trade should remains at 11 contracts, but in the backtest only 9 contracts are traded. And from that point on , the number of contracts traded in the backtest do not conform to the theoretical value ( which is correct bcz it goes with the sizing definition ) from time to time, and in the latter half of the tradelist , I would see adjacent 10 numbers of contracts traded as "27,27,29,25,13,30,17,25,26,30" Till this point , I believe something must go wrong here, because the result of these ten individual trades should never cauze such big jumps in the number of contracts traded. I want to know if some one have met this before in the portfolio backtest for a sample of more than a couple of hundreds trades. And what may be the possible cause & solution to the problem. Thanks for any hint and Happy new year to all ! huanyan
