How to Back Test the ES Emini

SimpleMeLike

SimpleMeLike

Hello,

I trade the /ES and would like to backtest a strategy using ThinkorSwim.

Does anyone know how to set this up considering the ES has contract rollover?

Thank you very much for help.
 
Some data providers have continuous contracts. So no roll overs anymore.
In real life you will have to roll over, so you should take that with you in your backtests.
 
i am nobody said:
Some data providers have continuous contracts. So no roll overs anymore.
In real life you will have to roll over, so you should take that with you in your backtests.
More...
Thank you,

I'm looking for a data provider that roll over the contracts while I be doing the back testing? I would like to use the exact data for that month, year of ES contract.

Thanks
 
SimpleMeLike said:
Hello,

I trade the /ES and would like to backtest a strategy using ThinkorSwim.

Does anyone know how to set this up considering the ES has contract rollover?

Thank you very much for help.
More...

A few questions:
1) What granularity of data do you require? Is Daily adequate?
2) How much history do you require? 1 Month, 1 year, 10 years??? -- This may impact #1.
3) Do you know how to code in ThinkScript?
4) How complex and intricate is your backtest? -- If more than trivial, you are likely to have issue with reaching ThinkScript's "complexity limit".


Depending on answers above, other options may become apparent.
 
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