I have some questions about the Optimization process in the Strategy Analyzer that I will be posting here in order to better understand what I consider to be some crucial parts in the Optimization process and to know how accurate are the values it gives comparing it to having been in a continuous day-by-day trading process:
1. When you select 1 year ago in the time range period for the optimization for example using the ES 12-21 contract, does the Strategy Analyzer work with the specific ES 12-21 contract for that past year of data in order to do the optimization? Or instead of that, the Strategy Analyzer does what is more logic that is to work with the “continuous contract” auto-selecting the “current” contract depending on what range of date it is working in each moment of the optimization process?
For example if you do an optimization for the 365 past days now in in mid-October 2021:
- The process starts with the ES 12-20 contract
- then after its rolling date it changes its current contract for the ES 03-21 contract,
- then after its rolling date it changes its current contract for the ES 06-21 contract,
- then after its rolling date it changes its current contract for the ES 09-21 contract,
- and finally after its rolling date it changes its current contract for the ES 12-21 contract.
2. Why when you select ‘Order fill resolution = High’ (in seconds) and you select more than 1 year ago in the range of date, for example from June 2020, then the Strategy Analyzer starts to take trades only from 365 days ago ignoring the rest of dates? What about if you want to optimize in that way from 18 months or from 5 years ago?
In the answers, please try to respond each point separately to keep the order.
Thank you!
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