Backtesting ES with S&P500 Data...?

[suby 10]

Can you backtest ES with S&P500 Data?

 

I don't plan to account for things like slippage and transaction costs rather I want to measure sure behaviours of the price action over the past few years.

 

Is it adequate to backtest the ES contract with the S&P500 data or am I asking for trouble...?

[Tams 20]

Can you backtest ES with S&P500 Data?

 

I don't plan to account for things like slippage and transaction costs rather I want to measure sure behaviours of the price action over the past few years.

 

Is it adequate to backtest the ES contract with the S&P500 data or am I asking for trouble...?

 

that depends on a lot of things

 

what is the resolution you are trying to trade?

minute charts? hourly charts? daily charts?

 

what is your risk tolerance?

obviously if you are scalping, the daily chart won't help. You have to find the medium between risk, and resolutions available to you.

 

do you trade globex? or hold positions overnight?

 

if you are a momentum trader at the daily level... i would think it should be ok.

[suby 10]

that depends on a lot of things

 

what is the resolution you are trying to trade?

minute charts? hourly charts? daily charts?

 

what is your risk tolerance?

obviously if you are scalping, the daily chart won't help. You have to find the medium between risk, and resolutions available to you.

 

do you trade globex? or hold positions overnight?

 

if you are a momentum trader at the daily level... i would think it should be ok.

 

Hey Tams,

 

I would define myself as a momentum trader at the daily level and no I don't hold positions over night.

 

The work I did last night on the ES regarding the past 10 days of data (Close prices on the S&P and Selected hourly bars from thinkorswim) confirmed my hypothesis that a derived from the data last night.

 

Do you have any suggestions in regards to momentum trading the ES and backtesting it by hand?

[Tams 20]

Hey Tams,

 

I would define myself as a momentum trader at the daily level and no I don't hold positions over night.

 

The work I did last night on the ES regarding the past 10 days of data (Close prices on the S&P and Selected hourly bars from thinkorswim) confirmed my hypothesis that a derived from the data last night.

 

Do you have any suggestions in regards to momentum trading the ES and backtesting it by hand?

 

if you are dealing with daily data,

you can use excel.

 

otherwise a charting software is easier.

 

Ninjatrader is free.

 

MultiCharts is easy to program.

 

take your pick.

[xfin 10]

You might want to try doing some research on your trading platform or data provider regarding a "continuous ES contract" and see if they provide you with one for backtesting purposes. If not, then do a search and you'll find plenty of help on it. Good luck.

[BlueHorseshoe 10]

If you're just experimenting with ideas with daily data then it will be fine to begin with, but you'd surely want to test using real ES data before going live with a strategy.

 

One option to look at is http://www.prorealtime.com - sign up and they offer end of day futures data and a really great streaming platform (no need to install anything) completely free of charge. The language for backtesting in the platform is simple and they provide plenty of resources including a manual and example code.

 

Another good proxy for the ES is always the "Spider" Exchange Traded Fund.

 

Good luck!

 

BlueHorseshoe