Problem backtesting comex metals futures

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Problem backtesting comex metals futures

Postby titletrading » 27 May 2010

I am backtesting a futures strategy against 22 symbols, and got unusual results for the three COMEX metals that I tested, symbols in TS @HG, @GC, and @SI. The quotes were correct but when I looked at the results it counted the price moves as if I had bought one unit of the underlying commodity...for example a $1 move in Gold gave a daily return of $1, instead of $1000 (100 ticks x $10). I know it is not pricescale issue in the code because returns for other instruments were normal. Has anyone else had this issue?

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Postby SUPER » 28 May 2010

Hope you have set correct values for pricescale, minimum movement, bigpointvalue etc for your symbols in Quote manager.

glen demarco
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Postby glen demarco » 02 Jun 2010

I had the same problem and changed the contract specifications n the quote manager. You can visit the comex's web site for the correct information.


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