Traders' Roundtable

What I would need to know:

-How many trades
-Distribution of returns within each bar
-Temporal stability of the distribution within each bar
-Distribution of returns in underlying asset
-Price time series of underlying asset (if only one)

Hi,
there are some data errors, but not many. You can scan for huge % moves and remove the ones that are not real.

Also, I think that the database is subject to survivorship bias.

be careful that there is no selection process towards controlled drawdowns in your optimization routine.

Criticisms:

1. Equal number of contracts: The proportions of different types of contracts that is appropriate to trade may be found through optimization (not strictly by solving from historic data, because this over allocates to historically good curves, and underallocates to poor curves-but by ...