Historical Data
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- Contributing Member
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- Contributing Member
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- Joined: Thu Oct 16, 2003 8:09 am
Any Olsen Data users out there?
http://www.olsendata.com/index.html?standard_datasets
Looking at their page called "Forex Interval Data Pricing" under the "Historical Data" section leaves me with many questions about what people thing would be the most cost efficient parameters to choose for ordering intraday FX data.
Any thoughts out there on how granular you *really* need to get? I suspect it is probably worth it in the long run to get the full "6 field" option.
-Morgan
http://www.olsendata.com/index.html?standard_datasets
Looking at their page called "Forex Interval Data Pricing" under the "Historical Data" section leaves me with many questions about what people thing would be the most cost efficient parameters to choose for ordering intraday FX data.
Any thoughts out there on how granular you *really* need to get? I suspect it is probably worth it in the long run to get the full "6 field" option.
-Morgan
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- Roundtable Knight
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I use a NT service I built to gather eod futures data
email PM me if interested...
Index Futures End-of-Day Data
I came up with a promising system for swing trading index futures. I have backtested the system based on indexes downloaded from Yahoo, and it shows quite dramatic results in particular on ^SPX. However, in the upper left corner of Yahoo Finance Page the link to S&P500 points to something called ^GSPC (what exactly is it ? who computes this index?). My system shows good results there as well but they differ significantly with ^SPX, with returns being inferior. Looks like ^GSPC accounts for gaps as opposed to ^SPX quoting so as Close always equal the next day Open which of course would distort results in real futures trading.
I also have actual dayly SP contract data and tested the system on them as well, but my data is not continuous, and it's much easier to test on indexes. However, my concerns are intraday futures volatilty, that index data my not reflect. Question: Is historical backtesting on indexes representative for actual index futures trading ? Dividends (reflected in indexe prices) are also a concern. Anyone can point me to the right direction here ?
I also have actual dayly SP contract data and tested the system on them as well, but my data is not continuous, and it's much easier to test on indexes. However, my concerns are intraday futures volatilty, that index data my not reflect. Question: Is historical backtesting on indexes representative for actual index futures trading ? Dividends (reflected in indexe prices) are also a concern. Anyone can point me to the right direction here ?
Index Futures End-of-Day Data
I came up with a promising system for swing trading index futures. I have backtested the system based on indexes downloaded from Yahoo, and it shows quite dramatic results in particular on ^SPX. However, in the upper left corner of Yahoo Finance Page the link to S&P 500 points to something called ^GSPC (what exactly is it ? who computes this index?). My system shows good results there as well but they differ significantly with ^SPX, with returns being inferior. Looks like ^GSPC accounts for gaps as opposed to ^SPX quoted so that Close always equals the next day Open which of course would distort results in real futures trading.
I also have actual daily SP contract data and tested the system on them as well, but my data is not continuous, so for me it's much easier to test on indexes. Is it a grave viloation of "test what u trade trade what u test" tenet? My concerns are intraday futures volatilty, that index data my not reflect. Question: Is historical backtesting on indexes representative for actual index futures trading ? Dividends (reflected in index prices) are also a concern. Anyone can point me to the right direction here ?
I also have actual daily SP contract data and tested the system on them as well, but my data is not continuous, so for me it's much easier to test on indexes. Is it a grave viloation of "test what u trade trade what u test" tenet? My concerns are intraday futures volatilty, that index data my not reflect. Question: Is historical backtesting on indexes representative for actual index futures trading ? Dividends (reflected in index prices) are also a concern. Anyone can point me to the right direction here ?
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- Site Admin
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No! Nor is testing continuous contracts and trading actual ones, or testing contracts backadjusted using one method and trading contracts that are backadjusted using another method. Granted, the differences become more apparent when trading longer term, but the basic rule of thumb remains the same: Test what you trade, and trade what you test.Is historical backtesting on indexes representative for actual index futures trading ?
I do not trade intraday, so you might look to others for opinions on that kind of data. I am very satisfied with CSI and their Unfair Advantage software for my end of day data needs. IMHO, data is not a place to pinch pennies. GIGO.
Happy Trading,
Jake Carriker
Thank you for the answer. I do fully agree with TWYTTWYT.
I should have made myself clearer.
The system under consideration is NOT an intraday system. What I'm trying to do is to use raw DAILY (O,H,L,C) index data to generate signals for actual futures trading - as PART of the system. I will comprehensively test it on continuos futures data (which I do not have at this point) and of course I would trade the same. My reference to futures intraday volatililty was a concern that the stops generated by the system (based on raw index data) may cause excessive whipsaws with futures (as they seem to be more volatile then indexes themselves early in the morning). Still, anyone knows what is GSPC vs. SPX and details on how dividends and gaps are accounted for in either of them ?
I should have made myself clearer.
The system under consideration is NOT an intraday system. What I'm trying to do is to use raw DAILY (O,H,L,C) index data to generate signals for actual futures trading - as PART of the system. I will comprehensively test it on continuos futures data (which I do not have at this point) and of course I would trade the same. My reference to futures intraday volatililty was a concern that the stops generated by the system (based on raw index data) may cause excessive whipsaws with futures (as they seem to be more volatile then indexes themselves early in the morning). Still, anyone knows what is GSPC vs. SPX and details on how dividends and gaps are accounted for in either of them ?
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- Roundtable Fellow
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Never, never, never use index data as the data on which trades are entered in testing. it is completely unrealistic. Trading would be a sweet beautiful dream if actual futures contracts were as neat and orderly as indexes would lead one to believe. All the volatility, all the guts, all the meat of trading is stripped out of indexes.
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- Roundtable Knight
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All of the premium or discount that futures often have is stripped-out as well.Mark_et_Lizard wrote:Never, never, never use index data as the data on which trades are entered in testing. it is completely unrealistic. Trading would be a sweet beautiful dream if actual futures contracts were as neat and orderly as indexes would lead one to believe. All the volatility, all the guts, all the meat of trading is stripped out of indexes.
I am not sure, but maybe ETFs like SPY and QQQ trade just like the indices. Maybe you can backtest on those instead of the actual index.