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Overview recurring (economic) events to gauge backtesting results
Started:September 5th, 2012 (04:20 AM) by Koepisch Views / Replies:452 / 2
Last Reply:September 5th, 2012 (04:59 AM) Attachments:0

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Overview recurring (economic) events to gauge backtesting results

Old September 5th, 2012, 04:20 AM   #1 (permalink)
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Overview recurring (economic) events to gauge backtesting results

After backtesting i've noticed some patterns in a Weekday-Month view. It means that i've mapped the results in weekdays per week (1-5) per month to group the results for instance for the 2. friday in a month. Sometimes there are marked patterns showing (extreme) good or (extreme) bad results. The other days follow the normal distribution. I don't wan't to fade or to emphasize these day's without knowing if these are caused due to special recurring events or by randomness.

To overlap the results (in different instruments) i'm searching for a good overview about recurring events. Not for the actual week - it must be like XXX event at every 3. thursday at every 2. month or similar. Currently i'm checking the contract rollover days and holidays.

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Old September 5th, 2012, 04:20 AM   #2 (permalink)
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Old September 5th, 2012, 04:59 AM   #3 (permalink)
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Take a look at the calenders listing the release dates of economic reports like Bloomberg(Economic Calendar - Bloomberg) or Derivate check (DerivateCheck). The latter one is in German only. Forex Brokers offer these calendars too.

Often they will point you to the source of the report where you will find the release schedule.

E.g. the NFP report is released first Friday of each month 14:30 CET = 8:30 EST. Always good for nasty spikes.

Or the release of the German ZEW report: can move the (German) market too.

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