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Testing an algo-trading system w/ no ask/bid value (Read 4193 times)
npr
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Testing an algo-trading system w/ no ask/bid value
07/01/11 at 17:30:57
 
Hello all,

I am testing an algorithmic trading program on intraday historical data that does not include bid and ask values.

it seems that the only price I can use is the LAST or the close which is the last transaction of the former minute (it's a 1 minute intervals data)

this of course poses a problem as it is Not guaranteed that I will be able to actually get a price identical to the Last value.

How would you suggest to handale this ?

THANKS !
npr
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Re: Testing an algo-trading system w/ no ask/bid value
Reply #1 - 07/06/11 at 13:19:37
 
It really depends on the time frames your strategy is trading in. For example, for a strategy that trades off daily bars, your data is granular enough to estimate the probability of execution on the assumption of sufficient liquidity. To obtain more representative performance numbers, I suggest you take the spread and slippage into account. Both can be a function of volatility.
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Re: Testing an algo-trading system w/ no ask/bid value
Reply #2 - 07/06/11 at 13:29:54
 
Thank you Algo Designer .
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