I've tried searching for this, but if it exists I have yet to find it.
Does anyone know where to find at least a rough list of important "market moving" dates for the past couple of years? What I mean by this is dates that were known ahead of time - ie. jobs numbers releases, federal reserve addresses, QE, etc.
I am trying to backtest certain Futures strategies, but in reality I avoid trading most days when I know there will be some sort of potentially volatile news (see above list). It would be nice if someone had a list of dates over the past few years of when certain events like this occurred, so I could basically program in to my backtest to NOT trade on these days (to mimic my real trading).
According to your profile, you do not use MultiCharts but... the above package goes with a Java tool that I have coded which is independent of any trading platform or operating system.
This tool downloads economic events proposed by Forex Factory Calendar back to 2007 and stores them in your computer in easy-to-read text files:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).
I think that it more or less meets your specification "rough list of important "market moving" dates for the past couple of years".
Then, you can do whatever you want with this list within your NinjaTrader strategy: filter according to the importance level (1, 2, 3), according to the impacted currency, according to the title... in order to avoid the corresponding hours in your backtesting.
The following 2 users say Thank You to Nicolas11 for this post:
Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.
Need help? 1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first. 2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses. 3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make. 4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance. 5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers. 6) Help using the forum? Watch this video to learn general tips on using the site.
If you want to support our community, become an Elite Member.
I currently use NT7 for backtesting strategies and then manually trade them on TOS.
I did an analysis of my actual trading log (along with additional backtested data) against the downloaded list of economic events, and actually found no statistical advantages for actively trading or not trading any certain "important" events with my current strategies. I even tried combinations of event types and found no real significant edge.
Currently I'm performing the same analysis on backtest results to try and determine my entry and exit efficiencies against the same market events to see if there happens to be any significance there due to possible added volatility. No idea how that will turn out....