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I just went through this.
Reuters only provides spliced, or nearest continuous futures contracts.
These are ok for historic price levels but useless for system testing. See
Schwager (Technical Analysis) for details. Esignal also does not provide
spread -adjusted/back-adjusted data. I recently switched my data provider
for futures for precisely this reason. I now use Premium Data, with good
experiences so far, but there are several other providers (google it). Why
do Reuters provide system-testing capability for futures but not the data to
test it on? Beats me.
The volume from all contracts is indeed from all open contracts, but you can
specify that setting even when you are viewing a specific contract, not just
continuous. This can give you the best sense of daily flows in that
commodity or index, but may be a matter of taste.
Also be aware that if you are system testing using back-adjusted data
MetaStock seems to have a problem dealing with occasions when the adjusted
price is negative (e.g. crude oil). You may have to adjust the whole price
series up by a constant amount in Excel before Metastock will give you a
meaningful result.
Good Luck
Andrew
-----Original Message-----
From: hcourtney@xxxxxxxxx [mailto:hcourtney@xxxxxxxxx]
Sent: Monday, May 17, 2004 2:49 PM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject: [Metastockusers] Reuters Futures Data and Downloader
Hi. 2 questions:
In the dialog box for Futures for Continuous Contracts is the choice "Roll
on Expiration". Is this the same as what is referred to as a "Spliced"
contract (as opposed to a "back-adjusted")?
The choice under the Other tab for "Use volume from all contracts" I assume
that means for the continuous contracts and it uses vol of all open
contracts?
Thanks,
Harold
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