Some ideas:
Futures is affected by the margin
deposit, $3000 for NQ for example, so it invests in $3000 chunks. This is
likely not all your cash so the other cash is not in the market and affects
exposure. However, this doesn't even come close to your 10% exposure value. Do
you have any stops? Do you have a PositionSize somewhere using less than -100?
(If not, I think you should because in my testing the leverage of futures will
bankrupt any system I have ever seen if you trade all your money because you
can easily lose more than 100% on a single trade.)
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Ara Kaloustian
Sent: Wednesday, December 28, 2005
15:49
To: AB-Main
Subject: [amibroker] Backtest -
%exposure
Doing some testing with futures (1
min data).
Am long or short all the time. The
data for closing one position and opening another looks fine (done at same
time).
Problem: The % exposure in summary
statistics seems incorrect. It is 10.20%. I would expect that it should
be 100%. This of course messes up Annual return and RAR.
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