FIGURE 1.1
TradeStation performance summary.Note:In the following code, the method for calculating the number of
futures contracts differs from how to calculate the number of stock shares. This has
to do with the limited life span of a futures contract and how you need to splice
several futures contracts together to form a longer time series. If you’re interested,
a more thorough discussion surrounding these specific problems is found in
Trading Systems That Work. For the purpose of this book, we will only touch on it
briefly again in Chapter 6.
{For TradeStation reports. Set Normalize(False), when exporting for Money
management.}
Variables:
{These variables can also be used as inputs for optimization purposes.}
Normalize(True), FuturesMarket(False), ContractLookback(20),
{Leave these variables alone.}
NumCont(1), NormEquity(100000), RecentVolatility(0);CHAPTER 1 Percentages and Normalized Moves 11