Data Sharing: History of Intraday Index Futures Forecasts

by Graham Giller May 15, 2009 14:52

Following the Science 2.0 concept of making data available for others to repeat my analyses, I am sharing the history of my intraday index futures forecasts (the raw data used to support the analyses presented earlier). The forecast history for Mini-DJIA Index futures (YM) and the forecast history for Mini-NASDAQ-100 Index futures (NQ) are available.

This data is that used to create the charts described in the posts Forecasting Accuracy for the DJIA Intraday Strategy and Forecasting Accuracy for the NASDAQ-100 Intraday Strategy.

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About the Author

Graham Giller - Headshot GRAHAM GILLER
Dr. Giller holds a doctorate from Oxford University in experimental elementary particle physics. His field of research was statistical astronomy using high energy cosmic rays. After leaving Oxford, he worked in the Process Driven Trading Group at Morgan Stanley, as a strategy researcher and portfolio manager. He then ran a CTA/CPO firm which concentrated on trading eurodollar futures using statistical models. From 2004, he has managed a private family investment office. In 2009, he joined a California based hedge fund startup, concentrating on high frequency alpha and volatility forecasting. A detailed resume is available.

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