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I'm convinced CSI' data is fine, but I'm not impressed by their
advertised CoT data.
"There are roughly 44 major commodities supported in the USDA weekly
reports" - http://www.csidata.com/csi/reviews/cot.html
At last count, I see 76 CoT contracts, with 68 of them being currently
active.
http://users.bigpond.com/prominex/Download/CoTlist.txt
jose
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew" <andyp1847@xxxx>
wrote:
> 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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