I am running extensive backtests on a strategy and got historical trade data from TickData LLC and came across a couple of questions.
1) The roll methods have significant impacts on the strategy. Upon further reading, it seems that the 'merge back adjusted' smooths out the roll-over period, which doesnt reflect true price as would have been at the time. The 'merge back non adjusted' would give us the price as it was, and simply use the new contract data from the roll-over period. Is the 'merge back non adjusted' the most realistic scenario for the strategy tester, and if so, is there any data manipulation that occurs?
2) The data that was received from TickData LLC contains both trade and quote data. The trade data doesn't contain any bid / ask prices (they exist in the quotes), so I was wondering whether the strategy analyzer makes use of the bid / ask quotes in the market if my strategy is programmed on the 'last' price chart.
3) Data differences: the data received from TickDataLLC and from Continuum is from the CME group. That means that they have the same data provider. Using only the trade data (last prices) from TickDataLLC, the strategy performs completely differently. I followed all the steps necessary to import the TickDataLLC data, but was wondering whether I should be importing individual contracts one at a time, if I should be importing tick-based bars (which my strategy runs off) etc. Could you please clarify on these settings, as TickDataLLC says this falls within range of Ninjatrader support and won't offer any help. Please see screenshot attached.
Best regards,
T
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