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CSI's data, Unfair Advantage, allows you to create the "roll over" in
most any manner you choose for continuous contracts. UA allows roll
over on the last day of the month prior to expiration, or "n" days before or
after. There is no, and I mean no, good way to roll over and if one uses
continuous contracts for back testing they are fooling only themselves. An
alternative for back testing that I've found to be valid is to have historical
contracts for all contracts such as all January, March, May, July, etc. corn for
example, and do historical testing on all January corn contracts (I choose a 12
month period because many futures contracts have very light trading in the early
months) back to as early as you have data. You can do this for each of the
succeeding months, and use this same method for other contracts. This is
exactly what Moore Research does and they give you exact buy/sell and exit dates
based on historical trends that occur 80-90% of the time, and, they charge you
an arm and a leg for it as well. Also, Moore limits their historical
computer massaging to no more than 20 years of history and often only 15 years
of history as global conditions change over time that effect the market, in
spite of what the (successful) phases of the moon watchers tell you.
As for volume, UA allows you to specify whether you want the total volume
for all months contracts dumped into the volume slot or whether you wish only
the volume for only the contract month. I find that having the volume only
for the contract month gives a much better view of liquidity and most of the
time I tend to trade liquid markets only. For example lumber yesterday
July lumber had a contract volume of 522 while September lumber had a
volume of 116, both skinny markets but if the volumes for all contracts had been
added together it would have given a distorted view of potential trade
opportunities.
UA is competitively priced with Reuters, has fewer errors, is ready
earlier, and has several cash markets that Reuters doesn't have.
Jay
<<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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