Robustness Testing on Futures vs Forex
1 year ago #261618
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!
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
1 year ago #261692
Thank you Tomas
1 month ago #271115
Hi! which other Market would you suggest to test nasdaq cfd? I tested on sp500 and gold and both are testing negative
The original strategy (on nasdaq) have pass all the follwing tests: slippage + other time frame + OOS + MC retest + MC volatility + WFM (as robustness test)
But as I said before, not with other markets.
Nasdaq is a part of US indexes family so you can test any of those like US30, R2000, SP1500 if available in your platform. You can also test non-US indexes, especially German DAX (DE30) etc
if you want to test on another markets for indices you can choose only another index
gold or forex pairs will not work, because the piptick size and step are totally different
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