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Guy:
I'm not clear on what you do. Do you just create a huge continuous
contract? If so, don't the price bumps every three months screw up
backtesting?
I've done my system design on a weighted continuous contract and now I want
to walk-forward test on an actual contract-by-contract basis, so my testing
matches live trading.
Regards.
Glen
----- Original Message -----
From: Guy Tann <grt@xxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: July 21, 1999 14:46
Subject: RE: Backtesting futures contracts
> Glen
>
> We do this all the time ourselves. When the next month becomes the most
> active, we change the symbol and name within Downloader and keep right on
> accumulating data. Works fine. The only problem is that by doing so, you
> screw up the OLE link to Office 97 since the symbol is a part of the link
> as opposed to just the chart name.
>
> Guy
>
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Glen Wallace
> Sent: Wednesday, July 21, 1999 1:07 PM
> To: MetaStock listserver
> Subject: Backtesting futures contracts
>
>
> Has anyone done any work to automate or ease the roll from one futures
> contract expiration to the next, for system testing?
>
> I realize MetaStock can't access multiple futures contract data files
> during a single system test (there's a suggestion for Version 7), but I
> would like to gather trade results for a particular contract from only
> the date it becomes the front month until the date we roll to the new
> expiration.
>
> Any suggestions?
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