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I'm not sure what continuous contracts you are referring to. I use
back-adjusted contracts that reflect very closely the contracts as I trade
them. This approach is as recommended by many authorities including Jack
Schwager. Everyone has their own preferences, but I don't think it makes
sense to condemn a methodology that is used by a large part of the
professional market. Backtesting single contracts is only going to work for
short-dated systems.
Andrew
-----Original Message-----
From: Jay [mailto:JayTownsend@xxxxxxxxxxxxxxxx]
Sent: Friday, July 30, 2004 10:47 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] RE: Data source for commodity prices
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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