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General Category >> Test Zone >> Testing an algo-trading system w/ no ask/bid value
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Message started by npr on 07/01/11 at 17:30:57

Title: Testing an algo-trading system w/ no ask/bid value
Post by npr on 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

Title: Re: Testing an algo-trading system w/ no ask/bid value
Post by Algo Designer on 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.

Title: Re: Testing an algo-trading system w/ no ask/bid value
Post by npr on 07/06/11 at 13:29:54

Thank you Algo Designer .