The historical tag has no wiki summary.
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1answer
142 views
What continous adjustment methods are firms using for futures backtesting?
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 ...
3
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1answer
168 views
How do you estimate the capacity of a strategy from historical data?
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 ...
