How to backtest a Seasonal Spread with an indicator
Posted: Fri Oct 24, 2014 11:17 pmHello Roman,
I would like to backtest both outright and seasonal spreads with additional indicators if at all possible. For example, let's say we use the spread SF15-SK15. As it is, it works well only in the latest 10 years in backtesting, but right now it is 3SD above its normal behaviour. I would like to do a new backtest only including the years in which this spread was 3SD above its normal behaviour. Is this possible? If not, when?
I would like to backtest both outright and seasonal spreads with additional indicators if at all possible. For example, let's say we use the spread SF15-SK15. As it is, it works well only in the latest 10 years in backtesting, but right now it is 3SD above its normal behaviour. I would like to do a new backtest only including the years in which this spread was 3SD above its normal behaviour. Is this possible? If not, when?