|
Istanbul, Turkey
Posts: 2 since Jul 2015
Thanks Given: 0
Thanks Received: 1
|
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.
|
