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Frankly, I don't trade futures any more. Been there, done that, got
the T-Shirt as it were and although I'd admit that having and using a
good technique for building continuous contracts is not as simplistic
as it should be, once you have one it's not particularly difficult to
do on an ongoing basis and systems should produce similar results
with either data stream with the chief difference being of course
that one can test systems over a lot longer time frame than a couple
or three months.
--- In amibroker@xxxxxxxxxxxxxxx, "Owen Davies" <owen5819@xxxx> wrote:
> Fred wrote:
>
>
> > With regards to PositionScore= statement, see the ReadMe from the
> > latest beta.
>
> Thanks, Fred. I'll dig it out again.
>
> > With regards to continuous contracts, maybe not MORE accurately
but I
> > wouldn't think less accurately either, especially if they are
> > properly created.
>
> That phrase "properly created" hides a whole lot of complexity.
Somewhere
> on the Net, someone wrote a really good account of the issues to be
> considered in creating continuous contracts. If I can locate it
again, I'll
> forward a link. In any case, the simplified treatment was
complicated
> enough for me.
>
> FWIW, my estimates of the errors are right in line with those I
have read
> from much more experienced analysts. I strongly recommend trying
at least a
> couple of comparisons between tests with continuous contracts and
the same
> techniques and periods on individual contracts. I think the
results will
> surprise, disappoint, and probably scare you. And if not, I'd love
to hear
> about it.
>
> Owen
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