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• 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...

AUTHOR: Enrico Donner, Ph.D.DATE: SEP 1998SUBJECT: Statistics