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Eric,
I assume you have continuous contract data already? If not you can use
the index for daily tests. Note: for ER2 contracts, the $RUT index is
quite close for the daily close, but it's way off on the open, based on
recent samples.
You "might" be able to do the following, but I am not sure. Give it a
try as it works in my futures testing code, but I have not tried to
change values over time. You would probably need to put the futures
values into an array or possibly into the custom backtester. Somehow I
don't think the backtester will pick-up on these values changing over
time.
/////////////////////////////////////////////////////////////////////
Futures values
if (StrLeft(Name(),2) == "ES") {PointValue = 50; TickSize = 0.25;
MarginDeposit = 3938;}
else if (Name() == "SPX-CBOE-IND") {PointValue = 50; TickSize = 0.25;
MarginDeposit = 3938;}
else {PointValue = 1; TickSize = 0.01; MarginDeposit = LastValue(C);}
//let's stocks go thru (more or less)
/* What I would change above is add/substitute "if" tests for a
DateNum() or Year() so:
if (Year() < 1960) set those values;
else if (Year() < 1970) set those values;
etc. */
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of Jerry Laster
Sent: Monday, October 23, 2006 14:49
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] backtesting contracts
Would testing SP-500 solve your problem? The patterns should match
(although not the values). Not sure about the point value changing
though
(I only trade e-minis).
On Mon, 23 Oct 2006 15:50:01 -0400, eric paradis
<thechemistrybetweenus@xxxxxxxxx> wrote:
> Can anyone explain how to backtest the S&P500 back to
> 1950 using a continuous contract?
>
> It seems that the margin deposit and point values need
> to be changed as the contract moves back in time.
>
> What can I do to solve this?
>
> Thanks,
>
> Eric
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