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When you switch contracts for your continuous version, do you back adjust
prices, or just feed in the new prices?
-----Original Message-----
From: Guy Tann <grtann@xxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Thursday, December 31, 1998 7:55 AM
Subject: RE: Data Sevice
>We, OTOH, develop our own continuous contracts by switching months when the
>next month's open interest exceeds the current month's open interest.
>
>When the June OI (currently around 8,000) exceeds the March S&P OI
>(currently around 369,000) is when we would change months to June. Our
>thought is we want to always base our calculations and trade the most
active
>month. Just what we do.
>
>Regards
>
>Guy
>
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