Cash data for testing

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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dave3076
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Posts: 87
Joined: Thu Dec 01, 2005 10:51 am
Location: London

Cash data for testing

Post by dave3076 »

Hello

A two fold post....
1. Can anyone highlight any problems they can think of in regard to this method of trading a mechanical trend following system on the major currency futures......use cash data to plot all moving average values and to derive trading signals, whilst using the contract month you intend to trade to arrive at volatility figures and breakout points?
2. How would i go about turning the forex data i received with TB into futures data. i.e. Turn forex brit pound against dollar into a 62,500 brit pound unit, thereby creating cash brit pound into cme futures sized contract?
Any thoughts or suggestions would be gratefully appreciated....
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kianti
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Joined: Fri May 02, 2003 6:10 am
Location: Florence - Italy

Post by kianti »

2. the $62,500 shouldn't be a problem: in your cash data contract specifications you set the notional amount to $62,500.
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