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Enhanced System Tester Problems with Trade Dates, Interest Rates
Rank: Newbie
Groups: Registered, Registered Users, Subscribers
Joined: 2/11/2007(UTC)
Posts: 1
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Hi, I have been using the Enhanced System Tester and noticed a couple of oddities on the trade dates, such as trading signals that generate positions on national holidays and weekends. I noticed this when I was trying to correct for the static interest rate assumption (5%) for interest crediting. The rest of this post details how these issues arose.
I decided that with great free data from the Federal Reserve on short term money rates back to 1971, I could calculate returns more accurately if I complied the daily interest crediting myself. I wondered if this would make a difference, and perhaps just as importantly, I wondered if anyone would be able to shoot holes in my analysis if they delved into my methodolgy.
I saw that the Federal Reserve had no data for certain bank holidays, and was inclined to credit interest at the same rate as the previous day. However, as I researched the dates when the Federal Reserve had no data, I saw that the Enhanced System Tester was generating signals on dates such as the Forth of July and Saturdays on US futures contracts.
My quesiton is, how can I ensure that my Enhanced System Tester generates signals on valid trading days, and is there a way to automate the use of short term interest rates that were actually available to investors during the periods I am testing?
I would very much appreciate any guidance, critical comments, or commiserating!
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Enhanced System Tester Problems with Trade Dates, Interest Rates
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