Absolute vs. percentage price change in backtesting | Traders Hideout


futures.io - futures trading strategies, market news, trading charts and platforms


Traders Hideout


Discuss day trading practices and futures trading strategies on this forum for all markets. This forum is also for discussing and reviews for brokers, data feeds, and commercial or third party add-ons




 

Absolute vs. percentage price change in backtesting

  #8 (permalink)

North Carolina
 
Trading Experience: Beginner
Platform: NinjaTrader, Tradestation
Favorite Futures: es
 
Posts: 644 since Nov 2011

Most futures contracts need to be tested in ticks because of back adjustment. This is not perfect. There is also a percentage back adjusted contract that is not common. Actually, I think it applies to any type of division. However, the ticks/points is not ideal either because percentage change is more likely to be robust when applied to an underlying. For example, today a 2% move on something like ES is going to be larger in points/ticks then several years ago. The nominal value changes over time.

The only real solution is to develop on the cash when possible, re-optimize, and/or test to see if your case matters. A rolling optimization is probably the easiest way to handle as it will help deal with the nominal value change which is slower. However, it won't handle certain types of changes.

Reply With Quote