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Hi:
After looking closely at Reuters for future's data, I backed away and chose CSI/UA. It's a little more expensive, but much more future's friendly. I didn't get Reuters because they are very limited in the cash quotes, and that is essential to my trading decisions. CSI/UA has all cash except OJ and Rice. I have come to the conclusion that Reuters and MetaStock aren't really interested in supporting future's traders. (Wouldn't it really be great if you could do a System Test in MS using dollar amounts instead of "points." That way you could span multiple commodities and get similar results with stops, profit objectives, etc. This could very easily be done with tabular point to dollar conversions.)
Regarding continuous contracts. I personally don't use them for technical back testing because there is no "good" way to handle the gaps. CSI/UA doesn't have gaps but gives several options of when to switch from contract to contract, and how to do it. I use the continuous charts solely for viewing price ranges and trends. My preferred method for back testing is to choose a contract month and then test all of those for a one year period of time prior to their expiration month. I have commodity data contracts in separate folders for each month (all March wheat, all May wheat, etc.) going back for more than 20 years. It is my opinion that a particular contract (July, September, etc.) has it's own "personality" and seasonal tendencies, including financial markets and prefer to not mix up the different contract months because of it.
It is my opinion that both Reuters and MetaStock are very weak when it comes to supporting future's.
Jay
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