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comment Statistical significance of trading systems that use indicators with long lookbacks
I don't think he's talking about quantity of backtesting data, but instead the timespan over which each value of the indicator is taken (the 'lookback'). If this lookback timespan is comparable in size to the backtesting timespan, then there will be strong serial correlation in the indicator.
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accepted Computing FX forward delivery dates
Sep
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comment Computing FX forward delivery dates
Great, thanks Phil
Sep
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comment Computing FX forward delivery dates
Thanks Phil, I agree there are a lot of factors to consider. However, I was trying to ask: calendar issues and such-like aside, are delivery dates for short dated outrights (say, 1W) computed by 1) adding a week to today, and then adding T+2 business days, or, 2) adding a week to the spot value date?
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answered Is there a charting API which allows to replicate Bloomberg chart tool features?
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answered Where can I find the standard discount curves for the standard CDS model?