Hi After some day I figured it out. The size of the position is also affected by the backtester settings. For example, only x% of the volume of the entry bar can be longed/shorted.
regards/ huanyan --- In [email protected], "huanyanlu" <joesa...@...> wrote: > > 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 >
