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RE: NASDAQ futures continuous contract


  • To: <metastock@xxxxxxxxxxxxx>
  • Subject: RE: NASDAQ futures continuous contract
  • From: "Guy Tann" <grt@xxxxxxxxxxxx>
  • Date: Wed, 12 Apr 2000 18:44:34 -0700
  • In-reply-to: <002f01bfa486$30257f80$796caecf@xxxxxxx>

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Chuck,

I already have a couple of sample contracts, but I do have a question and a
request.

First, what is back adjusted or adjusted?  I hate to show my ignorance, but
I have absolutely no idea what this means.  For our continuous contracts we
have always used the current month to the end and then switch to the next
month.  With our modified contracts (used for other commodities) we switch
months when the next active month's volume exceeds the current (or delivery
month).  For other commodities, we ignore all of the minor months and only
use the major, active months.

If you could put a continuous contract together for me rolling over to the
next month when the current month dies, I would appreciate it.  That will
give us 3 different "continuous" contracts to look at.

Thanks,

Guy


-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of Chuck Wemlinger
Sent: Wednesday, April 12, 2000 6:49 AM
To: metastock@xxxxxxxxxxxxx
Subject: Re: NASDAQ futures continuous contract

Guy,

I can build a continous contract based on Nth nearest and rolling parameters
such as Vol, OI, Vol+OI, or specific time of month.  It can be unadjusted or
adjusted.  What would you like?

Chuck Wemlinger

----- Original Message -----
From: "Guy Tann" <grt@xxxxxxxxxxxx>
To: "Metastock User Group" <metastock-list@xxxxxxxxxxxxx>
Sent: Sunday, April 09, 2000 16:05
Subject: NASDAQ futures continuous contract


> List,
>
> Does anyone have a MS or text format NASDAQ continuous futures contract
that
> I could get a copy of?  We're going to try to analyze it to see if our
> system might work with it as well.  You can send it via an attachment via
> email as long as you include a note as to what it is.
>
> TIA
>
> Guy
>
>
>
>