How should backtesting be handled with futures tick data? The question applies to 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?
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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