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Jerome,
Thank you very much, your views are very much to the point.
This is best perhaps, to generate signals based on cash and trade those in
futures.
Do you happen to know where can I find CAC40 cash data, intraday 15-minute,
and going back to July 1999?
I know of the Russian site, but they have it from 2002 onwards, I think.
Thanks. Best regards,
Yarroll
***
http://republika.pl/yarroll999/
----- Original Message -----
From: Silvarius <silvarius@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, September 08, 2003 5:32 PM
Subject: RE: [amibroker] Att Jerome Ulrich, RE CAC futures cont.
> 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
> ***
> http://republika.pl/yarroll999/
>
>
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