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Chuck
We only use the C-bar to calculate trade profitability. All of our systems
are based upon the daily price movement, so we need to include the prior
day's close and then we develop all of our calculations from there.
We do mostly proprietary systems that don't run in MetaStock. Use MS for
charting. Trying now to use OLE to connect to Excel and our system there
(also in Visual Basic).
We have never been able to get MS to do our calculations, primarily because
of how they appear to do their calculations (using the disk drive) and their
lack of variables.
I haven't had the time to start playing with v6.5. Spent almost 6 months
converting to MS for DOS and getting some of our stuff to run (and I've been
programming for over 30 years). Rather than play with MS anymore, I'm
converting everything to VB and I have bought the MS File Library system so
that I can access the MS data directly.
Regards
Guy
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Chuck Wemlinger
> Sent: Thursday, December 31, 1998 4:05 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Data Sevice (continuous data)
>
>
> Guy,
>
> Thankyou, for your kind and informative reply. I guess that cash settled
> contracts can be switched near the last day whereas non cash settled must
> avoid FND so must switch earlier. I can imagine some huge gaps
> could occur
> on some commodities. Do the SP500 gaps affect your indicators and system
> tests, or does the C-Bar take care of that? I think you use
> custom systems
> that don't run in MS but rather in a program you developed.
>
> The reason I ask so many questions is that as I become more familiar with
> system testing, I want to be sure I don't get false signals on say a two
> year out of sample dataset that I may wish to test on.
>
> Chuck
>
> -----Original Message-----
> From: Guy Tann <grtann@xxxxxxxxxxx>
> To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
> Date: Thursday, December 31, 1998 4:26 PM
> Subject: RE: Data Sevice (continuous data)
>
>
> >Chuck
> >
> >I guess that's why the continuous contracts normally go to the
> last day and
> >then switch, to minimize any major price discrepancy. I have
> seen some big
> >gaps though, over the years.
> >
> >In our own systems we maintain a field called C-Bar (C with a
> bar over it).
> >We also include the previous day's close in the current days prices.
> >Therefore we are always able to determine the delta close (the amount
> >today's close moved with respect to yesterday's close). That's
> the number
> >that gets added to the C-bar.
> >
> >In determining our P or L on a given trade, we take the C-bar on
> the day we
> >made the trade and either add or subtract today's C-bar (depending upon
> >whether we're long or short) to come up with the total move basis close.
> >This technique effectively wipes out any problems caused by switching
> >contract months.
> >
> >Regards
> >
> >Guy
> >
> >>>>>SNIP<<<<<<<<
>
>
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