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<FONT face=Arial
color=#0000ff size=2>Hi Harold,
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Yes - roll on expiration gives you a fairly crude
continuous chart. However, most professional futures traders will never
leave it until the last day to roll to the next contract.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>A back-adjusted continuous chart has the gap effects of
such a roll removed. A back-adjusted chart will give you a true indication
of a profit if you're testing a trading system that maintains a position across
one or more rolls.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Reuters use a method to add up all the volume across all
contracts and put it into the continuous contract. Whilst this gives you a
feeling for the liquidity across all contract series it probably doesn't give
you an idea of the liquidity of the month you're trading.
<SPAN
class=093314422-17052004><FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Have a read of:
<FONT face=Arial
color=#0000ff size=2><A
href="">http://www.premiumdata.net/support/futurescontinuous.php
<FONT face=Arial
color=#0000ff size=2>We've put a fair bit of effort into explaining the
differences between the different types of contracts and the limitations of some
approaches too (as well as showing how our software handles this
issue)
<SPAN
class=093314422-17052004><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>
From: hcour [mailto:no_reply@xxxxxxxxxxxxxxx]
Sent: Tuesday, 18 May 2004 4:48 AMTo:
equismetastock@xxxxxxxxxxxxxxxSubject: [EquisMetaStock Group] Reuters
Futures Data & 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" Iassume that means for the continuous contracts and it uses vol
of allopen contracts?Thanks,Harold
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