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Posts Made By:
Fat Tails
Forum:
Commodities
February 20th, 2014, 07:24 AM
Replies:
14
Calculating Ratio-Adjusted Data (RAD)
Views:
7,287
Posted By
Fat Tails
My calculations lead to Calculation Method...
My calculations lead to
Calculation Method 1: Simple Rollover Close Old, Open New.
@ T1 Buy 900, @ T2 Sell 950, Result: (950-900)/900 = 5,56%
@ T2 Buy 1000, @ T3 Sell 1050, Result:...
Forum:
Commodities
January 6th, 2014, 07:24 PM
Replies:
14
Calculating Ratio-Adjusted Data (RAD)
Views:
7,287
Posted By
Fat Tails
whipsaw: This is not an easy subject, but let me...
whipsaw: This is not an easy subject, but let me put forward a few ideas....
% Gain/Loss
The concept of a % gain/loss should not be applied to futures, but only to investments where the...
Forum:
Commodities
January 6th, 2014, 03:41 PM
Replies:
14
Calculating Ratio-Adjusted Data (RAD)
Views:
7,287
Posted By
Fat Tails
whipsaw: Then let us calculate your ratios with...
whipsaw: Then let us calculate your ratios with both standard backadjusted and ratio-adjusted data and discuss the outcome! It is enough to perform the calculation for a single trade that covers...
Forum:
Commodities
January 5th, 2014, 07:29 AM
Replies:
14
Calculating Ratio-Adjusted Data (RAD)
Views:
7,287
Posted By
Fat Tails
You cannot calculate the exact average gain/loss...
You cannot calculate the exact average gain/loss from ratio-adjusted data. All ratios are more or less inaccurate. The reason is that returns are either skewed to the upside or downside with...
Forum:
Commodities
January 1st, 2014, 06:10 AM
Replies:
14
Calculating Ratio-Adjusted Data (RAD)
Views:
7,287
Posted By
Fat Tails
Ratioadjusted and perpetual contracts falsify the...
Ratioadjusted and perpetual contracts falsify the outcome of individual trades. This cannot be corrected afterwards, therefore you will never obtain an accurate backtest.
Standard backadjusted...
Forum:
Commodities
December 31st, 2013, 12:01 PM
Replies:
14
Calculating Ratio-Adjusted Data (RAD)
Views:
7,287
Posted By
Fat Tails
With the terminology used by Thomas Stridsman ...
With the terminology used by Thomas Stridsman
c = close of the old contract
C = close of the new contract
gap = C - c
The idea of both backadjusted and ratio-adjusted data is to eliminate...
Showing results 1 to 6 of 6
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