What is the difference between all the testing data available for futures backtesting. There is day session, electronic 24 hour, composite. What is the difference? What do people use for backtesting in general?
I figure that if one uses 24 hour ones, there will be more trades as signals may pop up any time during day. I there a preference?
Difference in data
Perhaps one of these links will help;
viewtopic.php?t=7049&highlight=open
viewtopic.php?t=5804&highlight=swamp
viewtopic.php?t=7049&highlight=open
viewtopic.php?t=5804&highlight=swamp
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thanks rhc, i tried searching but couldn't find it.
eric, when you refer to settlement price as the only price you simulate your models on, wouldn't a lot of breakout systems that you test wont work? Maybe my definition of settlement price is different, but from investopedia...
eric, when you refer to settlement price as the only price you simulate your models on, wouldn't a lot of breakout systems that you test wont work? Maybe my definition of settlement price is different, but from investopedia...
Norgate Premium Data definitionThe average price at which a contract trades, calculated at both the open and close of each trading day.
Read more: http://www.investopedia.com/terms/s/set ... z1sGkKT6Nt
The answer is that the closing price is actually something called the “settlement priceâ€
The settlement price is the official final price for the day. It is what shows up on your statement. It is what profit & loss and margin calculations are based on. Each market is different; sometimes there is a "settlement committee" involved in the calculation, especially for illiquid markets. This price is typically available 15 minutes after the close. We trade the next day, all day, and expect to get the volume weighted average price for the day.