backtesting forex futures

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Chris67
Roundtable Knight
Roundtable Knight
Posts: 1046
Joined: Tue Dec 16, 2003 2:12 pm
Location: London

backtesting forex futures

Post by Chris67 » Thu May 20, 2004 9:52 am

Has anybody tried backtesting using currency futures data that encompasses 24 hour data .. i.e globex as well as pit traded hours ..

my initial look into this reveals that it isnt hugely different in risk adjusted return analysis than only trading the pit hours .. just wondered if anyone else had drawn any conclusions ...

Chris

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