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Hi
Jay,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Although your point of view has a lot of company, the use
of continuous contracts is a very subjective decision. There are
arguments for every side of the issue. Many "professionals" use continuous
contracts. I traded the T-Bond futures for 7 years and became one of the
largest traders outside of the CBT floor by using an "unadjusted" continuous
contract with a fully automated "black box" trading program. I do not
necessarily say you are totally wrong about continuous contracts, but you cannot
say they are without merit. Depends on how you use
them.
<FONT face=Arial color=#0000ff
size=2>
Best,<FONT
face=Arial size=2>Larry Carhartt
<SPAN
class=776235520-06062004>I<SPAN
class=776235520-06062004>ndex & ETF Component
Data<A href=""
target=_blank><FONT face=Arial color=#0080c0
size=2>www.MasterDATA.com<A
href=""><FONT face=Arial color=#0080c0
size=2>lc@xxxxxxxxxxxxxx<FONT
color=#008080><FONT face=Arial color=#0080c0
size=2>818-701-6686
<FONT
face=Tahoma size=2>-----Original Message-----From: Jay
[mailto:JayTownsend@xxxxxxxxxxxxxxxx] Sent: Friday, July 30, 2004
6:47 AMTo: equismetastock@xxxxxxxxxxxxxxxSubject:
[EquisMetaStock Group] RE: Data source for commodity
pricesAnyone who back tests commodity data with any
kind of "continuous" contracts(a non-existent, fabricated data series)
will produce nothing but fictitiousresults. The only way to get
significant results is to back test allcontracts of a commodity by their
expiration month, that is, all July wheatfor 15 or 20 years back, all
September wheat for 15 or 20 years back, etc.That's what the professionals
such as Moore Research do, and they charge youan arm and a leg for their
test results.If you have really convinced yourself that
continuous contracts are what youwant then CSI data's Unfair Advantage
(UA) gives you the best adjustmentparameters that I've found to be
available. You get to choose all of yourroll over options and you
have to do that only once and your parameters aresaved for all other
continuous contracts.Jay<<If you want to do
backtesting of futures data, you'll most likely need toestablish
continuous contracts and back-adjust to remove the rollover gap.It's very
cumbersome to do yourself... Our futures data product, data tools,gives
you the ability to create such contracts.>>
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