Testing on Electronic data v Pit data
Posted: Sun Dec 07, 2008 1:02 pm
Hi,
I'm trying to get some opinions on back testing and when pit data is valid (up until mid 2006?) and when to switch to electonic (mid 2006 onwards?). As more of the pits seem to dwindle I'm comparing my systems on both and feeling I should dump pit data altogether.
System results between 2007 to present seem reasonably similar, but if I go back much beyond that, the electronic behave quite differently. Is this because electronic trading was less used on some contracts?
Thanks for any ideas/advice
L.
I'm trying to get some opinions on back testing and when pit data is valid (up until mid 2006?) and when to switch to electonic (mid 2006 onwards?). As more of the pits seem to dwindle I'm comparing my systems on both and feeling I should dump pit data altogether.
System results between 2007 to present seem reasonably similar, but if I go back much beyond that, the electronic behave quite differently. Is this because electronic trading was less used on some contracts?
Thanks for any ideas/advice
L.