|
PureBytes Links
Trading Reference Links
|
Given that the S&P futures were essentially split 2 for 1 late last year,
how do we reflect this fact in backtesting. Does anyone know the exact date
when the S&Ps were cut in half from $500 per contract to $250?
I was thinking of using something like this:
If date< Splitdate then ncontr=2 else ncontr=1;
Where "ncontr" determines the number of contracts we can trade (where in
this case, we're trying to reflect using 1 contract).
-----------------------------------------------------------------------
Never, ever, invest any money in a fund
whose principals include financial academics.
-from www.adtrading.com
|