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Oh, Knowlegeable Ones,
How should backtesting be handled with futures tick data? The
question does not apply to TradeStation but a custom platform that
I'm building.
I suppose I could take in futures rollover dates and notify the
strategy when it's time to roll to the next contract. What about
charting, though, as well as calculating indicators for X ticks back?
There could well be a case when the indicator spans the rollover date
and the ticks past that need to be adjusted, at least to calculate
the indicator.
Last but not least, since the trading is very short-term, should the
rollover _time_ be specified as well?
Thanks, Joel
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http://wagerlabs.com/uptick
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