I want to run backtest with more historical data than IB currently provides. I got a CSV file containing several years of FDAX data and I would like to skip the cumbersome task of creating different files for the quarterly expirations of this future (instrument).
I imported the file as FDAX.Last.txt but this created a new instrument which is most probably not linked to the FDAX futures expirations. So I wanted to try renaming the file as the first non available expiration instrument so that all imported history is in one single bucket (the older one).
The questions I have regarding this procedure are:
- Would Strategy tester run through all these historical data or do I need to do the split inevitably for each quarterly expiration?
- Is there a better way to do this large historical file import for the same backtesting purpose?
- Usually different expiration instruments have a couple of overlaping days of data. Should these overlapping days be "re-created" so that in the imported data they exist as well just like in IB synced data?
Zulok
Comment