Hi all, If my backtest is based on Settle price, how to hit the settle? Any smart way of doing that? Thanks a lot!
If you are trading metals, energy or ICE indexes or softs, trade directly the settlement contract. If you aren't, learn the exchange rules that determines settlements( usually a VWAP of last 2 minutes or something like that ) and try to enter the regular market at what will soon be the settlement.
Or, discard those backtest results and start over. Test using a fill price that you KNOW how to reliably achieve. For example, you know how to reliably achieve the VWAP ... so develop, optimize, backtest, and walk-forward test using VWAP as your fill. You can think of other examples as well.
I don't have VWAP execution. Where do I get VWAP execution? I am using TT and also NewEdge ... Thanks! And where do I get VWAP historical data?
One way is to purchase capability from vendors. You can find LOTS of vendors at trade shows such as (FIA Conferences) or (MFA Forum) or (others). VWAP is a very popular product, there are many vendors. Another way is to hire a consultant. Ask Newedge to recommend a few of them. Ask Newedge which VWAP vendors are being used right now by other Newedge clients. Ask Newedge what trade journals and magazines carry advertising from VWAP vendors.