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Why are UA owners who use continuous
contracts for testing fooling themselves? You provides no reasons for your
allegations at all.
<SPAN
class=921410909-19052004>
-----Original
Message-----From: Jay T [mailto:JaysTownsend@xxxxxxx]
Sent: Wednesday, 19 May 2004 12:30 AMTo:
equismetastock@xxxxxxxxxxxxxxxSubject: Re: [EquisMetaStock Group]
Reuters Futures Data & Downloader
<BLOCKQUOTE
>
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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