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Using Bid&Ask Prices vs Only Mid-Price in Backtest
Started:July 1st, 2015 (03:13 PM) by fintrabuji Views / Replies:455 / 1
Last Reply:July 1st, 2015 (03:13 PM) Attachments:0

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Using Bid&Ask Prices vs Only Mid-Price in Backtest

Old July 1st, 2015, 03:13 PM   #1 (permalink)
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Istanbul, Turkey
Futures Experience: Beginner
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Using Bid&Ask Prices vs Only Mid-Price in Backtest

Hi everyone,

Just looking for input and recommendations on the topic of using bid&ask prices time series vs mid-price time series. I have written code that outputs signals from both bid&ask time series, however rarely there are differences between the two (signals from bid and signals from ask). The first problem that came to me was that I am not going to see the effect of the spread, although I am not sure.

Should I just use the midprice time series?

Would the outcome differ drastically if I used midprices instead of both bid&ask?

Which time series do your backtesters use?

Would it be effective if I used midprice series for signal generation, but bid&ask series for calculating portfolio value and returns?

Note: I am testing strategies that hold positions in the interval of a couple hours to a few weeks, so not high frequency intraday.

Any comment, recommendation is appreciated. Good luck to you all.

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Old July 1st, 2015, 03:13 PM   #2 (permalink)
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