Hi, Is this a good idea - I am thinking of doing this. I understand there are differences in the quotes for spot vs futures, but are they significant enough to completely invalidate a strategy which was tested on spot fx hostorical data, if I intend to trade the strategy on currency futures?
I am sure there probably is a catch somewhere (otherwise others would have done this too), just want to figure out what it is. Would really appreciate the advice on this one folks.
would work just fine on mid or long frequency strategy. Would not work on hft strategy. But why are you asking us? Run your strategy over historical cash fx vs futures data and compare...please share results if you dont mind. THanks