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Forums>StrategyQuant>Extras & Strategies>Robustness Testing on Futures vs Forex

  • #261618 |
    20 Posts

    Hello there,

    Reading the e-books provided on the bonus section for currencies and futures I’ve noticed that the recommended robustness test on currencies is much more detailed than with futures, while for currencies  the e-book talks about retesting with OOS, slippage, other markets, different MCs and WFM, the futures e-book only talks about testing OOS.

    Is the robustness test difference on the e-books driven by the markets’ differences? Should we be applying the same robustness test on both the forex and futures markets?

    Where can I find additional info on appropriate robustness tests for futures?


    Thank you in advance and you all have a great weekend!

    1822 Posts


    the OOS test is probably the most important one. Still you can apply any robustness test you find useful with your strategy even with futures and I would recommend to do so. But you do not have to be that strict with filtering criteria. We consider futures, especially index futures, to be easier to work with compared to major forex pairs. It is really quite easy to find a strategy for index futures. One of the main reason is the obvious long-term long bias.. Another good thing is the daily life market cycle. Forex compared to that is one big 24h hours lasting chaos :)

    You should definitely do the WF test, the randomization test, the slippage test and ideally also the additional markets test

    20 Posts

    Thank you Tomas

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