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Currently, I am using the S&P500 index as a proxy for the SP and e-mini
futures in my tests of daytrading systems. Would the results be valid? It is
a real hassle to piece together 5 years of tick data for the futures
themselves.
Another reason I am using the index is data availability. I have the index
ticks but I am not sure if there are any vendors that sell ticks for each
3-month contract. What is the proper method? Should I run tests over each 3
month period? That would be 20 tests over 5 years.
This are fundamental but critical questions. What kind of data do you guys
use for futures intraday system testing?
Thank you. All advice would be deeply appreciated.
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