Algorithmic Trading Group Forum - Testing an algo-trading system w/ no ask/bid value

05/28/20 at 22:09:00

	Welcome, Guest. Please Login or Register

Home

Help

Algorithmic Trading Group Forum › General Category › Test Zone › Testing an algo-trading system w/ no ask/bid value

(Moderators: Forum Administrator, Co0olCat)

‹ Previous topic | Next topic ›

Pages: 1

Testing an algo-trading system w/ no ask/bid value (Read 5331 times)

npr

Newbie

Offline

I like this forum!

Posts: 5

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

IP Logged

Algo Designer

Forum Administrator

Offline

Nihil desperandum

Posts: 181
Sydney
Gender: male

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.

"Success is the sum of small efforts, repeated day in and day out..."

IP Logged

npr Newbie Offline I like this forum! Posts: 5	Re: Testing an algo-trading system w/ no ask/bid value Reply #2 - 07/06/11 at 13:29:54 Thank you Algo Designer .
Back to top	IP Logged

Pages: 1

‹ Previous topic | Next topic ›

« Home

‹ Board