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Well, you would still have the problem that if you use an indicator that the
data at rollover time would not be accurate.
I also do NOT believe much in intra day tick systems, too much work for a
similar result.
Kind regards,
Volker Knapp
(www.wealth-lab.com)
-----Original Message-----
From: Joel Reymont [mailto:joelr1@xxxxxxxxx]
Sent: Monday, July 11, 2005 1:50 PM
To: Volker
Cc: omega-list@xxxxxxxxxx
Subject: Re: Backtesting on ticks and futures rollover
Volker,
What do you think of a system that _does not_ carry a position into
the next day? Wouldn't this make continuous contracts unnecessary?
After all, you are searching for patterns each day, within the day.
You could still backtest such a system and with 23,400 seconds in a
trading day you should have plenty of ticks to test on. You could
also backtest going back as long as you like to see if the patterns
hold from one day to the next.
Joel
On Jul 11, 2005, at 1:44 PM, Volker wrote:
> 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.
--
http://wagerlabs.com/uptick
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