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Your welcome to disagree Jay, but it doesn't
make you right, nor does it mean you cant trade CC, nor does it mean UA creates
flawed charts.
You need to seriously think about the words
you use, and differentiate between FACT and your perceived lack of respect for
the use of CC's.
Just because you say that a back adjusted CC
can't possibly give meaningful results because it would have to roll 7 times is
simply wrong
by a magnitude. In fact it isn't wrong at
all. In fact you can trade it just as is. In fact is gives exactly
the price relativities you would trade
in real life. If you wish to argue that it
wont create a REAL chart in the sense that each contract month is quite separate
from each other (
as distinct say from an Index contract) then
you might be right, but that's merely a personal opinion of your.
<BLOCKQUOTE
>
<FONT
face=Tahoma>-----Original Message-----From: Jay T
[mailto:JaysTownsend@xxxxxxx] Sent: Friday, 21 May 2004 1:59
AMTo: equismetastock@xxxxxxxxxxxxxxxSubject: Re:
[EquisMetaStock Group] Reuters Futures Data &
Downloader
<<The only way you can do any
statistically meaningful system testing is usingback-adjusted continuous
contracts. See Schwager et al. The individualcontracts 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 toreal trading results and
works for system testing - but not
forresistance/support.>><FONT
face="Courier New">
I simply don't agree. There is absolutely
no way for a "back adjusted" continuous contract to give meaningful historical
data. If you look at grains, for example, they have 7 or more contracts
per year that means you have to make adjustments 7 times in each years data,
for however many years you "test." If you've looked at individual
historical contracts you will find that many of them have a personality -
that's what Moore Research depends on.
If you in fact want to back test long strings of
real data, go to cash, but cash data often doesn't represent future's
data.
If your system works, use it.
Jay
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