Back testing futures

Discussion in 'Automated Trading' started by meanreversion, Apr 9, 2010.

  1. I'm looking to expand my trading strategy from just FX to include commodities as well. I have no prior experience of backtesting on futures, and had a couple of questions.

    Which data provider is good for continuous futures, either back adjusted or otherwise. I need to go back at least 10 years with daily data.

    How do you interpret indicators which are acting on adjusted data? For example, if I'm looking for a cross of the 10 day MA above the 50 day MA, how do I calculate the longer MA if the highest volume contract only has a month to run?

    Basically what I'm looking for is assistance with backtesting mechanical systems on futures, if anyone can assist.
  2. marine


    Bloomberg, Reuters and TickData all provide a way to roll futures so that you can look at them over a long time horizion.

    For example you can tell Bloomberg how to roll / adjust your futures contracts. Then you ask for the '1' contract which is always the front month contract. Yes when the contracts roll the prices will adjust but the shape of your curve should intheory remain pretty much the same unless the roll adjustment was incorrect.
  3. Are you willing to pay a tutor or you are looking for free advice (I'm not a turor by the way). You know what they say about cheap or free things. You get what you pay for.
  4. Not really looking to pay for a tutor as such. I have 15 years experience trading at an institutional level and for my own account, however it's always been deliverable products, i.e. FX. I was looking to see if anyone on this forum had experience backtesting on futures, and what kind of issues they had encountered.
  5. Does this mean that all advice on this website is no value, seeing as it's free?
  6. You still don't get it. It is even misleading advice most of the times. Trading futures is zero-sum. Why should anyone who really knows the stuff open your eyes and then end up loosing to you?

    Yeah, you will learn how to backtest futures systems but it may take you up to 5 - 10 years and it will cost you a lot.

    Friendly advice...
  7. No, there is really good advice and help on general issues and concepts but when it comes to technical details why should you expect someone to do the work for you for free?
  8. Uh huh, thanks for these informative responses. In summary "don't ask questions" as it indicates laziness and "ignore what you read here" as it's all cr*p anyway.

    Try reading trade2win sometimes, it's another trading site where people share ideas, thoughts and experiences without the attitude.
  9. Took a quick look - here are some of the profound threads under discussion:

    "How long does it take for a market order to be executed?"

    "What keeps you from being consistently profitable?"

    ... BTW there are some very smart and experienced folks on E'trader. You'd be surprised.
  10. Thanks Rodney King, I'm sure there are some good threads.

    One of my intial questions was 'which data provider is good for futures' to which the responses were 'work it out yourself, it's a trade secret, go away', so as you can imagine, I was slightly taken aback.

    Thanks anyway folks.
    #10     Apr 13, 2010