Anyone doing any historical back testing?

Here4money said:
Which exchange did you get your data from?

I need to draw a few plots.... I'm seeing some patterns.
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Hello Here4money,

I use CQG data feed and it is free if using NinjaTrader.

I am happy you are seeing some patterns to back test.
 
Not HFT, but frequently trade on same instrument allowing large sample size to analyze. I generally do this monthly in regards to statistical signifigance. Just collect real-time data until that point
 
digitalnomad said:
I generally do this monthly in regards to statistical significance. Just collect real-time data until that point
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Thanks digitalnomad for response.

I also trade intraday and I constant question the following "How many trades for this system I developed and backtested is statistically significance enough". I try to develop on recent data just to see the difference.

I am not sure I understand your comment. Can you go in detail please?
 
Sure. As much as I can. While I actually trade monthly, what I perceive to be the most optimal inputs for my algorithms, using my pricing model, I simultaneously run thousands of trade simulations across multiple instruments and time series. I choose the most optimal variation at discretion to trade live for the following month. Most would assume this by what I just typed, but the simulations take hours to run, and run on multiple machines :)
 
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