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RE: [Metastockusers] Re: Bug in Manual Adjust



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<FONT face=Arial 
color=#0000ff size=2>Yes most futures traders roll into the next contract well 
before expiry due to volatility and significantly decreased 
liquidity.
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>There's plenty of ways to make it look continuous but each 
method has its pros and cons with regard to actual past trades, backtesting, 
trends, points and % movement, and choice of roll date.  

<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>If a trader doesn't understand the implications of the 
method that 
has been used to generate a continuous futures contract chart, the results of 
any decisions that trader makes against that chart are practically 
meaningless.  It's one of the reasons that our futures data updating 
program gives the user the ability to modify roll dates to suit their own 
criteria (if they don't like the default ones we have 
provided).
<FONT face=Arial 
color=#0000ff size=2><SPAN 
class=000492403-05042004><SPAN 
class=000492403-05042004> 
Best regards,
Richard Dale.
Norgate Investor Services- Premium 
quality Stock, Futures and Foreign Exchange Data for  markets in 
Australia, Asia, Europe, UK & USA -<A 
title=http://www.premiumdata.net/ href=""><FONT 
face=Arial size=2>www.premiumdata.net 
 


From: Dusant [mailto:dusant@xxxxxxxxxxxxxxxxxx] 
Sent: Monday, 5 April 2004 1:20 PMTo: 
Metastockusers@xxxxxxxxxxxxxxxSubject: Re: [Metastockusers] Re: Bug 
in Manual Adjust

Hi Richard,
Let me first be open to admit that I have not 
spliced together different contracts myself. Have just used pre-adjusted data. 
So I have no idea what method has been used to mathematically make it 
continuous.
I have only helped friends in New Zealand, Brazil 
and Canada do their adjustments, and somehow I found their data to be 
"flowing" normally.
Yes, the issue of historical data does exist, but 
we were purely looking at it from the technical point of view.
I also have not had the inclination to place the 
different data sets together, and check out the mathematical relationship 
between the adjusted and the non adjusted data.
This may sound wacky, but it is just my feeling, 
and I am working towards it. My idea is that the data should not be "spliced" at 
the expiry of the contract, but (*shrug*) maybe, a couple of weeks 
before the expiry.
A parameter could be drawn up based on open 
interest.
It is a fact that any future gets more volatile 
towards the expiry, whereas the next period's contract is not that 
volatile, because of the mental pressure not being there to square 
off.
Have I been able to make myself 
clear?
DusantChief Architect<A 
href="">http://www.candlestrength.com/
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Richard 
  Dale 
  To: <A 
  title=Metastockusers@xxxxxxxxxxxxxxx 
  href="">Metastockusers@xxxxxxxxxxxxxxx 
  
  Sent: Monday, April 05, 2004 08:27 
  AM
  Subject: RE: [Metastockusers] Re: Bug in 
  Manual Adjust
  <FONT face=Verdana 
  size=2>
  <FONT face=Arial 
  color=#0000ff size=2>Dear Dusant,
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>Be careful if you use a ratio adjustment as you state 
  (ratio between yesterday's to today's close prices when you roll) when you are 
  trading futures, as the historical data will no longer be accurate on a points 
  test basis, nor will the ratio reflect your rollover (as the data is 1 day 
  lagged).  What you should be doing is comparing the close prices of the 
  two different months on your roll day to determine the difference then 
  back adjust your continuous chart by adding/subtracting the 
  difference.
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>There's plenty of issues related to continuous contracts 
  with futures which depend exactly what you want the continuous contract chart 
  to show and the limitations of how to interpret it too.
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>See:
  <FONT face=Arial 
  color=#0000ff size=2><A 
  href="">http://www.premiumdata.net/support/futurescontinuous.php
  <FONT face=Arial 
  color=#0000ff size=2>for a lengthy article on continuous 
  contracts.
  <FONT face=Arial 
  color=#0000ff size=2> 
  Best regards,
  Richard Dale.
  Norgate Investor Services- Premium 
  quality Stock, Futures and Foreign Exchange Data for  markets in 
  Australia, Asia, Europe, UK & USA -<A 
  title=http://www.premiumdata.net/ href=""><FONT 
  face=Arial size=2>www.premiumdata.net 
  <FONT face=Arial 
  size=2> 
   <FONT face=Verdana 
  size=2>
  
  
  From: Dusant 
  [mailto:dusant@xxxxxxxxxxxxxxxxxx] Sent: Monday, 5 April 2004 2:22 
  AMTo: Metastockusers@xxxxxxxxxxxxxxxSubject: Re: 
  [Metastockusers] Re: Bug in Manual Adjust
  
  I have been using the adjust feature, coz the 
  distribution feature does not always give correct results.
  You just need to use the ratio of the previous 
  close to today's close to arrive at the adjust factor.
  DusantChief Architect<A 
  href=""><FONT 
  size=2>http://www.candlestrength.com/<SPAN 
  class=000492403-05042004><FONT face=Arial color=#0000ff 
  size=2> 
  <SPAN 
  class=000492403-05042004> 







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