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On Jul 10, 2005, at 3:01 PM, Mark Brown wrote:
for real time trading i like making perpetual futures data.
Actually, I decided to dispense with continuos contracts altogether
and go unadjusted. See http://wagerlabs.com/uptick/2005/07/
backtesting-futures-tick-by-tick.html
I got the insight from a post on EliteTrader. I want to trade based
patterns found during the day, every day. This means entering
frequently throughout the day and closing out completely at day's end.
This also means that no indicator will use data from the previous day
which makes adjusted contracts unecessary. Systems could use
statistics/performance calculated for prior days, though.
I will roll over to the next contract when the volume/open interest
becomes higher or based on a predefined rollover date and time.
Systems should be tested over lots of tick data but always entering
throughout the day and exiting by closing time the same day. A
trading day is 390 minutes, 23400 seconds. Even with one tick per
second this should give you enough statistical data to test on.
How does this sound?
Thanks, Joel
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http://wagerlabs.com/uptick
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