Using Percentage-Based Back-Adjusted Data by Enrico Donner, Ph.D.
ARTICLE SYNOPSIS ...A continuous data series for remodeling a futures trading system can be created in a number of ways. Here's a new method that uses a percentage-based back-adjusted technique to ensure that profits and losses from a trading system are equivalent over time on a percentage basis.
As a rule, the results of any trading
system are evaluated in terms
of dollar returns. This means
that a $10,000 loss on the Standard
& Poor's 500 futures contract
is considered simply to be
a $10,000 loss, without taking
into account the period in which
the loss has occurred. As an example,
in August 1982, the S&P was...