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WE did some thinking about it, even thou that was on EOD data. The
conclusion was that the indicators need to be calculated on continuous
contracts and the signals need to be applied to none adjusted data.
You then have to exit on the last bar, enter the same position on the open
of the new contract and add the rollover difference to your p/l.
We did this procedure on a portfolio of symbols with MM applied to the
portfolio for a very special client, pretty interesting results.
Kind regards,
Volker Knapp
(www.wealth-lab.com)
-----Original Message-----
From: Joel Reymont [mailto:joelr1@xxxxxxxxx]
Sent: Sunday, July 10, 2005 10:49 AM
To: omega-list@xxxxxxxxxx
Subject: Backtesting on ticks and futures rollover
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
--
http://wagerlabs.com/uptick
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