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Hello Yarrol,
Being a day trader, I never hold any overnight position, and so don't use
any continuous contract for my backtests. I don't like the idea of
continuous contract as it adds a new layer of data manipulation. In orther
terms, you calculate your indicators on datas that are not "true" ones.
Facing your problem, I think I would try to use cash datas to calculate
longer term indicators, and use the contract trades on a short basis (no
overnight calculation) to generate the "trigger" signal. But this is only a
quickly thought idea.
Best regards, Jerome ULRICH
-----Message d'origine-----
De : Yarroll [mailto:komin@xxxxxxxxxxxxxx]
Envoyé : dimanche 7 septembre 2003 13:49
A : amibroker@xxxxxxxxxxxxxxx
Objet : [amibroker] Att Jerome Ulrich, RE CAC futures cont.
Hello Jerome, List,
How do you prepare continuous CAC contract from individual contracts data?
I have converted data from Matif site into 15-minute Metastock format from
scratch.
{You were right... Best to do it myself if I'm about to periodically add new
data}.
However what I end up with is a pile of individual contracts with just about
3 months of active trading each, not much use for longterm indicators.
There's no Open Interest in Matif data, so I have no choice but to use
volume as a basis for the continuous contract.
Of course, there's much less problem with daily chart, but on intraday
volume for a few sessions is now bigger in one contract, now in another.
Any hints, tips or tricks? Maybe an Excel spreadsheet with formulas?
Thanks. Best regards
Yarroll
***
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