When backtesting and developing trading systems, does anyone here try to scale the system parameters and the trade results to the magnitude of the price at the time of the trade? If so, what sort of scaling factor do you use?
For example, let's say you are testing a SP futures gap strategy. You can measure the gap in absolute number of points, or percent of price, or some fraction of recent daily range. Each seems to have both advantages and drawbacks, so I am curious as to how others do it.
-bbc
For example, let's say you are testing a SP futures gap strategy. You can measure the gap in absolute number of points, or percent of price, or some fraction of recent daily range. Each seems to have both advantages and drawbacks, so I am curious as to how others do it.
-bbc