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There have been some interesting discussions regarding the virtues of
backtesting in recent emails.
I would be interested in hearing what kind of backtesting people really wind
up doing when they trade futures. There is a lot of talk about how you
should backtest. I was wondering what kind of disciplined testing actually
happens before people are confident enough to trade a system or methodology.
I am particularly interested in those who trade futures daily or intraday.
Please mention that in your response.
Where do you get your data for backtesting?
How extensive is it (How far back)?
Do you backtest continuous contracts?
How do you backtest?
A. Backtest the entire data set
B. Backtest oldest half, optimize, test latest half
C. Backtest middle third, optimize, test oldest third, test newest third
D. Other
I trade the S&P intraday. I use a BMI feed and backtest systems intraday
just over the last two contracts individually, so I don't use continuous
contracts.
Thanks in advance for any feedback.
Neil Harrington
njh@xxxxxxxxx
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