Hello I am trying to backest binary strangle on news, with some parameters
data used :
- 1’ forex (EURUSD,GBPUSD,USDCAD,USDJPY) from http://www.histdata.com/ (EST timezone without day light savings adjustments)
- news data from https://www.fxstreet.com/economic-calendar (close to UTC timezone)
backtest engine : excel vba
tested on 2h contracts or 3pm daily contract from 2010 to our may 2017, by 2 years sections
parameters price to buy or sell time to get in (beetween opening contract time and news time) TP to get out (or expiration) parameters for Black Sholes formula
This is done and have some results, like what news are mostly profitable
But the problem is I don’t master the volatility parameter in the BS formula I am forced to use a fixed volatility, and it is not realistic at all
Is there a way to know what volatility is used at nadex, at a particular time and day ? I asked them twice but no answers. Do they calculate volatility from known indicator (like VIX) that I could download and use? And with what formula ?
Also, is there other people in the forum that has tried to backtest binaries strategies ?
Regards eric