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Absolute vs. percentage price change in backtesting


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  #11 (permalink)
 Thatsbooo 
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Thanks SMCJB!

I develop on Futures.

The idea with the two different contract types sounds good, but seems to be very time consuming, therefore I will continue testing with tick moves.


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 SMCJB 
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Thatsbooo View Post
The idea with the two different contract types sounds good, but seems to be very time consuming, therefore I will continue testing with tick moves.

If your using raw un-adjusted tick data that's fine but if your tick data is back-adjusted (ie your getting it from somebody like Tradestation) then you'll have the issues I described. It's not a function of the granularity of the date, but if & how it's back adjusted.


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Last Updated on April 24, 2018


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