Question about Historical Data

Trading Discussion
1

I was hoping someone could provide some clarification on something:

If you take the EUR/CHF pair and pull up all the historical price data you can find on it, how much do you think you would find? I always thought that you could find data dating back to the introduction of the EUR currency and that’s it.

I’m using GFT, which, by the way, have loads of historical data great for all us backtesters. I found historical data going all the way back to the 80s!!! Why is that? The EUR didn’t even exist back then!

My only assumption is that these prices are somehow derived. And if so, how are they derived?

Thanks

2

Any EUR based data going back before 1999 is definitely derived. It’s either based on the old DEM or the old ECU.

3

Thanks John,

So, would you say that the reliability of any sort of EUR based testing that goes further back than 1999 is sketchy at best?

Thanks

4

I don’t use it myself because it’s not the same instrument. The differences might be small, but they are there. If it’s a DEM based estimate, then you’re talking about using 1 currency to approximate a basket. If it’s ECU based data then you’re talking something that wasn’t really traded.