Difference in data

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illuminati
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Difference in data

Post by illuminati » Mon Apr 16, 2012 11:59 am

What is the difference between all the testing data available for futures backtesting. There is day session, electronic 24 hour, composite. What is the difference? What do people use for backtesting in general?

I figure that if one uses 24 hour ones, there will be more trades as signals may pop up any time during day. I there a preference?

rhc
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Post by rhc » Mon Apr 16, 2012 7:30 pm


ecritt
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Post by ecritt » Mon Apr 16, 2012 11:16 pm

The settlement price is safe. The open interest is safe. Everything else is a quagmire that takes a considerable amount of time to figure out...and is subject to change without notice in the future. Note: I only use the settlement price and open interest for simulations and real life trading.

illuminati
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Post by illuminati » Tue Apr 17, 2012 12:38 am

thanks rhc, i tried searching but couldn't find it.

eric, when you refer to settlement price as the only price you simulate your models on, wouldn't a lot of breakout systems that you test wont work? Maybe my definition of settlement price is different, but from investopedia...
The average price at which a contract trades, calculated at both the open and close of each trading day.

Read more: http://www.investopedia.com/terms/s/set ... z1sGkKT6Nt
Norgate Premium Data definition
The answer is that the closing price is actually something called the “settlement priceâ€

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Post by ecritt » Tue Apr 17, 2012 12:47 am

The settlement price is the official final price for the day. It is what shows up on your statement. It is what profit & loss and margin calculations are based on. Each market is different; sometimes there is a "settlement committee" involved in the calculation, especially for illiquid markets. This price is typically available 15 minutes after the close. We trade the next day, all day, and expect to get the volume weighted average price for the day.

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