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In database-speak, this problem has been solved with things like two-phased commit. That's used in transaction (money) processing when the machines are separate and nothing can be lost. That design required a unique token (like your Tick would have) but generic (not a tick but your own creation). The process is one machine says "I'm ready to do 'A' if you ...


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If I'm correct Backtesting VaR usually boils down to two conditions: The unconditional coverage hypothesis : the probability of an ex-post violation must be equal to the coverage rate. (ie : if 0.01 confidence level, you should get 1% violation). You can test it with the Kupiec Test . The independence hypothesis, your VaR violations should be independent. ...


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The moving average is determined as of the close of a particular day. Then to calculate the P&L you have to multiply today's state (1 or -1) by TOMORROWs return, instead you are using todays! So for example the formula in H13 needs to be E14/E13-1 and not as you incorrectly have it E13/E12-1. HTH


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Your return calculation should be on total return, i.e. include dividend income. Your signal, if it is price only, then you should take the price series and not adjust.


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quant tick downloader. free with the most accurate free tick data u can find. click here also for yahoo finance data in R try the Quantmod package getSymbols("^GSPC", from="1990-01-01" , to ="2000-01-01" )



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