Hereâ€™s an idea for backtesting LME contracts. Specifically, generating a price series that matches what you would actually trade in the real world. I have no experience actually trading LME, but from my understanding of how it works, it seems like the following would be possible.
If you had access to every price for every prompt date for the backtest period then you could:
Create your own â€œnormalâ€
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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