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The only way you can do any statistically meaningful system testing is using
back-adjusted continuous contracts. See Schwager et al. The individual
contracts don't give you a long enough data series. Nothing is perfect.
Spliced contracts give you price/resistance but jumps between contracts.
Back-adjusted avoids the jumps, gives you results that are very close to
real trading results and works for system testing - but not for
resistance/support.
-----Original Message-----
From: Jay T [mailto:JaysTownsend@xxxxxxx]
Sent: Thursday, May 20, 2004 10:09 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Reuters Futures Data & Downloader
<<Why are UA owners who use continuous contracts for testing fooling
themselves? You provides no reasons for your allegations at all.>>
It isn't an allegation, it's a fact. All you have to do is to look at the
UA continuous contracts (the best that you can get, by the way) and look at
the roll over from one contract to the next. Much of the time you have wild
price gyrations that don't simply do not happen in the real world. A
continuous contract is not a real contract, you can't trade a continuous
contract. Read some of Bruce Gould who also looks at historical data, but
only with the method I outlined earlier.
Go to the Moore Research site. They DO NOT use continuous contracts and
they have a long history of providing exact entry and exit dates based on
the review of specific month contracts only.
Jay
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