Backtesting on ticks and futures rollover

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Joel Reymont
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Joined: Wed Nov 05, 2003 2:00 am
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Backtesting on ticks and futures rollover

Post by Joel Reymont »

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?

Thanks, Joel

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http://wagerlabs.com/uptick
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