I am still trying to figure out how do I take account of the exact size of futures contract during back testing. I now have an excel sheet having symbols and corresponding lot size, would appreciate if you could suggest how to use this information. A how-to or a blog on this topic would really help all the users.
OK, that means I will have to do this for each symbol manually. I have 159 symbols, reading an excel sheet would be more convenient, do let me know if it is possible.
And after including lot size if suppose I want to backtest my strategy for cash market wherein number of shares need not to be in round lot size, do I have to delete values given in the "round lot size" field? If yes, it will be very difficult !!! In other words, my question is that do we have flexibility to backtest both, the strategy for cash as well as futures market without deleting data from "round lot size" field?
Also, I have observed that the value in the "tick size" filed is having "huge" impact on the performance outcome of a strategy. As per the NSE guidelines, the "tick size" for all the stocks is Rupees 0.05 (do let me know if this number makes sense to you). And if I include this value in the "Futures Setting" field, a positive strategy became significantly negative. I would also like to know if we have to give values of "Tick size" and "Round lot size" both, or if I have given value of "round lot size", "tick size" can be left blank? Similarly we have "Point value" and "Margin", again, do we have to give both the values? For me giving "round lot size" and "margin" will be most convenient.
I would also like to know if we can give "margin" as percentage of the contract price, if yes, how.
Looking at this, for any novice person, it will be very useful if we have a blog, covering various aspects of back testing, including cash, and F&O.
OK, having two accounts or two symbols will add to the physical memory requirement. Please look at the link given below wherein AmiBroker is providing a relatively cleaner way of back testing the strategy for Futures market:
I hope to see something similar in QS as well, may be after couple of versions from now.
>>You can define any field or leave them empty. It depends on what you are trying to do.
Here obviously my objective is to develop a robust and realistic strategy for Futures trading. For that if I create another account for Futures and fill in information about [A] round lot size and [B] margin, for each symbol using "Symbol -> Update symbol", to achieve my objective, what additional information is essential for me to provide within "Siuilation/backtesting -> Update -> Settings -> Futures settings". Can I leave "tick size" and "point value" field empty and expect the trading system to be realistic?
The link you provided is dead.
What you need is basically a button that specifies whether to perform a normal backtest or a future-mode backtest, right?
The backtester will first look at the symbol settings (Symbol -> Update Symbol). If a symbol field is empty then it will look for the value defined in the trading system ("Simulation -> Update -> Settings -> Futures settings"). If these fields are also empty then it will ignore them.
You can work without these fields and get approximately a good idea of the performance of your trading system.
If you update the "Point Value" field then it is important to update the "Margin Deposit" field too.
I have corrected the link, you can check it now, it works. Yes, I want a button to select between normal and futures mode, also, having provision to give "percentage" for margin will ease out trouble of putting exact value, AmiBroker has it, why QS should not have, it will help users.
I agree that backtesting using cash market would give good idea about the performance of strategy. However, for me it is important to have a strategy backtested for Futures market. You have talked about "margin" and "point value", what about "tick size" ?
I just happened to notice that an enhancement done during Nov.'12 makes it possible to enter margin deposit as a percentage by preceding the number with the minus sign. If its 20% margin, its entered as -20.
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
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