Say for example I have the following company in some specialized industry: A - Company that is about to be listed in Exchange 1, i.e., no price history B - Company that produce similar products as ...
There are several methods available between data vendors and associated software programs to adjust futures contract data for historical simulations. Some of the methods are: 1) Back or forward ...
What are some good ways to estimate the capacity of a strategy from historical data (including full market depth)? Obviously, a naive approach is that you want the strategy's returns to exceed its ...