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Susan,
It is important to understand all the ramifications of the different type of
continuous contracts in backtesting. I refer you to past articles in TASC or
Futures magazine on these subjects. They are thoroughly discussed. Both have
websites and may include search facilities.
Best regards,
Scott Hoffman
Issaquah, WA
-----Original Message-----
From: TCFRMR@xxxxxxx <TCFRMR@xxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Wednesday, November 11, 1998 11:30 AM
Subject: Backtesting Perpetual Contracts
>I'm backtesting systems on CSI's 46 Series Perpetual Data and finding
>inconsistencies when I compare the results to actual futures contracts.
For
>example, a breakout stop using the low of 5 bars ago was hit on December
and
>March Swiss Franc contracts but not on the Perpetual Series. Obviously
this
>throws 10 years of backtesting into question.
>
>What types of historical data are best for longer-term trading? Is there a
>more reliable method of backtesting that anyone out there is using?
>
>Thanks,
>Susan Russell
>
>
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