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Re: [EquisMetaStock Group] Continuation Charts



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--- In equismetastock@xxxxxxxxxxxxxxx, JayTownsend@xxxx wrote:
> In a message dated 8/29/2003 10:21:56 PM Pacific Daylight Time, 
> houstontexansvt@xxxx writes:
> 
> > Using Metastock and Reuters datalink. I am attempting to backtest 
> > simple strategies on futures continuation charts. I am producing 
> > false results as my backtesting does not factor in loss/gain from 
> > rolling my positions from one contract to the next?
> > 
> > Anyone have a solution to solve this problem? I'm betting if I 
just 
> > fill in the gaps by adjusting the entire time series when I roll 
the 
> > backtest would be realistic, even though I could get some very 
funny 
> > looking charts.
> > 
> 
> You are looking at a problem for which no one to my knowledge, has 
ever found 
> a solution.  I have UA/CSI as a data source for my commodity data 
and they 
> give you all sorts of roll over and smoothing options for 
continuation 
> contracts, but they simply do not work for back testing.  You will 
even find commodity 
> futures trading systems for sale which have been back tested only 
against 
> continuous contracts.  Don't even consider them because that type 
of back testing 
> does not apply to current trading.
> 
> What you have to do, in my opinion, is to get history and back test 
against 
> all March Wheat for all historical years, then back test against 
May Wheat for 
> all historical years, and on and on.  Each future month including 
most of the 
> financials, have their own personality and own historical high and 
low points. 
>  It's a very big task to test in this manner, but some have done 
it.  Moore 
> research for example will sell you a system that gives you buy and 
sell points 
> by specific date, that have worked for a specific futures month 
(not a 
> continuous contract) for 70 to 80% or better for the past 15 to 20 
years.  That does 
> not guarantee an 80% winning percentage because the trades decline 
in 
> probability as you go into present time.  They want a lot of money 
for their 
> weekly/monthly recommendations and you have to trade all of their 
recommendations to 
> make the average which means an account of $50,000 or larger, and 
your return is 
> probably going to end up at 15% to 20% on an annual basis - and you 
can go 
> for long periods of back to back losers.  Not really very good for 
the high risk 
> trading you are doing.
> 
> Tough nut to crack.
> 
> Jay
Need help thinking of buying one of the following plug-in for 
metastock I trade intraday and swing
Nisons Candlesticks Unleashed, Bollinger Bands, Performance Systems 
Plus, Power Pivots Plus, Chart Pattern Recognition, Adaptive Trading 
Solutions, Fractals Edge Elliottwave TPI Dynamic Trading Tools, 
Fractal Finance  PowerStrike Thanks Chris


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