Among those, who tests trading systems for the RTS index futures have a strong opinion that for the correct testing of this instrument it is necessary to throw out the first minute of trading from the data, since in fact it is often hep, despite the fact that the bar is drawn.
Well what, On the one side, это верно, when is it really hep. But there may be a gap, maybe it doesn't exist and the first minute is really the first minute. And in this first minute, maybe, for example, trigger stop loss, and then the price will reverse in the desired direction. And for those who tested without the first minute of triggering the stop loss, there will be no, but in real life the stop loss would have been triggered. The same is with limit orders. — the first minute can help you, so do harm. And as a result, testing on data without the first minute of trading will also be incorrect., however, exactly the same as with the first minute.
The only way out — test with all minutes, but on the right graph. Testing on the RTS futures chart as follows, what he is now, will be deliberately incorrect.
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