Hey all,
I'm curious to know if anyone has had any experience with backtesting commodities futures data. I am working with a friend on a hedge fund competition where we have to compete with other university students in developing and presenting a trading strategy. We were inclined on developing a strategy we had thought of which dealt with corn futures and currency. We are planning on backtesting corn futures data. I would greatly appreciate advice on data sourcing, data organization, and recommended programs to use. We were planning on using the Quantopian platform which is based on Python. That is what we are most familiar with. Any best practices and tips for this kind of project? Thanks!
There are some pointers out there (old PDF docs) on the various methods that can be used to generate a time series for futures... If you haven't yet, I'd recommend you familiarize yourselves with the possibilities.
We've found some useful masters papers. Thanks
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Come again?
What variables should we account for if looking at a strategy involving corn and currency?
Moving Averages
i would also suggest you look at crude oil futures...create a time series of continuous contract data (back adjusted) and then look at 1, 2, and 3 standard deviation bollinger bands....look at various timeframes (for example, 5min, 30min, 2hr, 6hr, daily)....you should be able to come up with a handful of strategies (with risk mgmt rules, momentum and mean reversion rules) that should give you a good starting point.
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