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Glen
We haven't had too much of a problem with any 'bumps' in prices. We've been
using this technique for almost 50 years now and have developed all of our
trading systems around it. I'm sure there might be some impact, but for the
most part when you roll over to a different month after the new month
becomes more active, there isn't too much of a problem.
We do use the SPCONT contract and use our modified TBond contract as opposed
to the TBond Continuous. Seems to work better that way.
In terms of determining profitability in systems testing, we store the
previous day's close in each data base record (in our clipper system, for
example). This enables us to calculate the delta C (change in close) daily.
We also run a cumulative C figure, so by taking the cum_C on the day we
initiated the trade and taking the cum_C on the day we exited the trade, we
have an accurate measure of the trades profitability (the daily delta C). I
still have to add that to our MS system. Need to figure out when the symbol
changes. Got to be a way to do that.
Regards
Guy
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Glen Wallace
Sent: Wednesday, July 21, 1999 3:24 PM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Backtesting futures contracts
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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