backtesting forex futures
Posted: 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
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