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Hello,
I’d like to see how using a different data source
affects the optimization/backtesting results for my
trading system. Would someone who is similarly
interested like to “swap” data (allowing you to see
how my data affects your system’s results)? I have,
from a reputable provider, S&P futures intraday (not
EOD) tick data in ASCII (text) format as individual
contracts for March 1990 (SPH90) through June 2001
(SPM1). The data is directly importable into
TradeStation and can also be converted with provided
software into continuous contracts that are also
directly importable. If you would be interested and
have similar data, please contact me privately by
e-mail to check our sources, etc.
I think this is a worthwhile experiment, especially as
a comparison between two reputable data vendors to see
just what sort of an effect that data differences can
have on backtesting and the optimized parameters that
are obtained. To be more specific, I already know
that the effect can sometimes be large, but I’d like
to further see how “blending” the optimized parameters
from optimizations performed on data from different
sources might affect the future or out-of-sample
results that can be obtained. I’ll publish my results
once completed.
I’d also like to see how my system performed prior to
1990 (especially the 1985-1990 time period to see how
it did before, during and after the ‘87 crash), but
don’t have any data from this time period to provide
for a swap. If someone would be generous enough to
donate intraday tick data for this time period I would
really appreciate it.
Thanks,
Mark
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