future data for backtesting

Discussion in 'Data Sets and Feeds' started by ericta, Jan 26, 2007.

  1. ericta


    Hi Guys,

    Can I backtest YM/NQ/ES using its underlying index data?
    If I can, what's the drawback when using indices instead of actual future daily data?

    Thank you.
  2. Vince1


    Better go with (tradable) ETFs if you do not have futures data++
  3. It's not too expensive to get futures data with eSignal.

    Try these

    DIA = YM
    SPY = ES
    QQQQ = NQ
  4. promagma


    Yes I have been testing with ETF data, and it has been in line with the actual result when I go live.
  5. It has always seemed logical to me, that for everything beyond intraday, one is better off using the underlying indices for TA (or the ETFs), rather than the futures. The reason being is you'll have the basis (cost of carry) depleting over-time as the contract reaches expiration. This will skew technicals when looking at daily/weekly/monthly charts.

    For example, traders follow the S/R levels of the indices themselves, you'll often hear on Briefing or similar sites how the market is reacting to a certain S/R level. The same S/R levels applied to the futures would again be skewed over time as basis shrinks.
  6. ericta


    ok, I'll try ETF then. Thank you all for the input.

    "cost of carry", extra spikes, noises still worries me. I guess these are the stuff you have to lean to deal with in real trading. :cool:
  7. ericta-

    Check out prorealtime.com. They have free end-of-day data on futures, indices, currencies, etc going back decades (I had a Dow daily chart up that went back to the 1930s). Their java charting system is really great, you can add most any indicator, create your own, and I believe you can backtest as well.
  8. ericta


    I try to simulate the leverage when I use ETF as Future data, so I change the tick size and point value.

    DIA: ticksize = 0.01, pointvalue = $500
    SPY: ticksize = 0.025, pointvalue = $500
    QQQQ: ticksize = 0.01, pointvalue = $800

    I'm wondering are these conversion correct?


    trader KGB:

    Thank you for the link :)