Importing Bond Data for Backtests with Yield and Price Fields

Summary

A forum user asks how to import bond data for backtesting when signals may depend on yield to maturity, while trades use full price. The question also raises the handling of clean and full prices, tick data, and the difficulty of applying price adjustment methods to full-price series. These details highlight that bond backtests may need to represent both yield-based decision variables and transaction prices, rather than treating a bond series like an ordinary unadjusted equity price.

The reply says VeighNa’s institutional edition provides a fixed-income extension with expanded fields, data storage, backtesting support, and bond calculations. It does not give configuration steps, explain price-yield conversions, or resolve the specific tick-data and adjustment questions. The exchange identifies relevant platform capabilities, but offers no worked example, validation, or evidence that a particular setup handles a given bond dataset correctly.

Key ideas

• Bond strategies may signal on yield to maturity while executing at full price.
• The question distinguishes clean price, full price, and tick-data handling for backtests.
• The poster notes that conventional price adjustment is difficult for full-price bond series.
• The reply points to VeighNa’s institutional fixed-income extension for bond fields, storage, backtesting, and calculations.
• No setup steps or worked example are provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.