Back testing futures

Where equities can be back tested quarterly for five years, how do I back test futures? Thanks.

Futures follow underlying price movements only, so the backtest results for a stock and it’s Futures contract will be similar. Also, unless it is continuous data, Futures contract will only have a couple of months data to backtest.

@Streak is this possible?

This is correct. there is a very strong corrlation between the movement on stocks/indices and its future. Ideally, you should backtest on underlying because the Future moves based on the moveent of the underlying. So if the strategy performs well on the underlying, you can deploy it on the fututre instrument.

Backtesting 5 yrs data can be done on the underlying and not on the Future or options currently.


How can I backtest Nifty Future Expired Contract in Streak?
Its important for me to know the strategy performance.
Please reply @Streak


Not currently, but it will be available soon. Please write to [email protected] so that the team can contact you once this is possible.