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I agree with Jay on this one. CSI's UA does a superior job of back
testing and producing continuous contracts. It also has a unique
feature of simulating market movement into the past with perpetual
contracts.
Besides, their futures data is the cleanest around and the history
goes back farther than other vendors.
here's their site: http://www.csidata.com
Andrew
--- In equismetastock@xxxxxxxxxxxxxxx, "Jay" <JayTownsend@xxxx> wrote:
> Anyone who back tests commodity data with any kind of "continuous"
contracts
> (a non-existent, fabricated data series) will produce nothing but
fictitious
> results. The only way to get significant results is to back test all
> contracts of a commodity by their expiration month, that is, all
July wheat
> for 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 you
> an arm and a leg for their test results.
>
>
>
> If you have really convinced yourself that continuous contracts are
what you
> want then CSI data's Unfair Advantage (UA) gives you the best adjustment
> parameters that I've found to be available. You get to choose all
of your
> roll over options and you have to do that only once and your
parameters are
> saved for all other continuous contracts.
>
>
>
> Jay
>
>
> <<If you want to do backtesting of futures data, you'll most likely
need to
> establish 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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