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I want to backtest a very short term intraday system that buys/sells index
futures immediately as economic reports are released.
The basic premise (I haven't backtested it yet) is that high probability
trades may be entered as long as there is some significant discrepancy
between expected and actual numbers (as the expected number would already be
discounted).
However I am no economist (I am much more at home with technical analysis
than fundamental stuff).
So I have a few questions, and I apologise if they seem a little naive to
many on this list but we all have to start somewhere:
1. Which economic numbers (such as Fed Interest Rate Decisions, non farm
payroll etc. ) have the biggest and most immediate impact on index futures,
and without getting overly technical, why?
2. For these numbers, where might I get:-
a) a history of their values,dates and times (this question came up on this
list recently but the only response that I recall was to a subscription
service - maybe there are others?)
b). a history of forecasts corresponding to the values above (I want to
compare actual with expected numbers).
3. How do the TV stations (CNBC/Bloomberg) compare for their speed of
reporting these numbers with subscription newswires or other sources? How
important is a split-second difference in speed of reporting to a daytrader
trying to profit from these announcements? I am using an electronic trading
platform and my fills are generally pretty good.
5.Bottom line question: Has anyone on this list benefited from an approach
similar to this?
All answers, referrals and abuse welcome.
Dan Middleton
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