Backtesting

[mmillar]

Hi,

Is there some way of backtesting more than 60 days?

Can I import 3rd party data into eSignal so that can backtest further back?

Does eSignal have any plans to allow us to backtest further than 60 days?

Thanks

mmillar

[ACM]

mmillar
Replies to your questions can be found at the following links
Alex

Can I import 3rd party data into eSignal so that can backtest further back?

http://www.esignalcentral.com/support/faq/esignal/quotesdata/quotesdata_csi.asp

Does eSignal have any plans to allow us to backtest further than 60 days?

http://www.esignalcentral.com/support/faq/esignal/quotesdata/quotesdata_intraday.asp

[mmillar]

Thanks for that Alex.

Is there a way of fully backtesting European futures?

For instance, at the moment I can use the continuous future for the S&P emini (ES #F) and then backtest this the full 60 days (and longer when eSignal allows it).

However, with European futures such as the EuroStoxx50 there are no continuous futures (only ET M3-DT) so I can only backtest for the life of the currently active future. Getting lots more backtest data isn't going to help.

Any ideas?

Thanks

mmillar

[ACM]

mmillar
I am not positive about this - so you may want to confirm this with eSignal - but I am under the impression that continuous contracts for european futures are going to be implemented at some point and time.
Alex

[gspiker]

Hi,

I'm not Alex and I don't trade European futures, but if they keep the old contract information around for a while and if you know the switch over dates, it should be possible to stitch these togther yourself for backtesting. It will not be pretty, but it should be possible.

Garth

[mmillar]

Thanks Garth. Unfortunately, they don't keep around the old months at all. Can only test on the current month.

Can anyone from eSignal confirm what Alex says about European futures being made continuous? Or another way I can backtest?

Thanks again.

[ACM]

mmillar
Actually data for expired contracts is available, subject to the same 60 day limit for intraday data (see image).
You need to use a different symbology which is
sym myyyy-exch
for example
ET H2003-DT
As far as I know eSignal has been storing historical data for over a year now with the intent of making it available once they extend the intraday availability.
Alex

[JayF]

I can confirm that we are looking into offering continuous futures contracts for European futures, and are aiming to carry them some time in Q3 2003.

[mmillar]

Alex - thanks again. You are indeed the font of all knowledge.

Jay - thanks for that info. The link that Alex gave earlier says that you will be providing >60 days backtesting in 'Q2 2003'. There are only 6 weeks left in Q2 - do you have a date on this yet? Thanks