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Just to add my experience to the debate.I produce
my own continuous contract on the JYen/USD futures contract simply by taking the
last full week of the old contract and then adding the first full week of the
new contract.Very often you cannot see the join.If there is a big gap smooth it
out by adjusting the data on the old contract week.I used this
for three years to produce a trading system that has now worked well
for the past four.I have found with regard to manipulating data on the joins,if
it looks right on the chart the manipulation does not critically alter the
system,it is that simple,
Peter
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----- Original Message -----
<DIV
>From:
<A title=andrew_tomlinson@xxxxxxxxxxx
href="">Andrew Tomlinson
To: <A
title=equismetastock@xxxxxxxxxxxxxxx
href="">equismetastock@xxxxxxxxxxxxxxx
Sent: Friday, July 30, 2004 11:10
PM
Subject: RE: [EquisMetaStock Group] RE:
Data source for commodity prices
I'm not sure what continuous contracts you are
referring to. I useback-adjusted contracts that reflect very closely the
contracts as I tradethem. This approach is as recommended by many
authorities including JackSchwager. Everyone has their own preferences,
but I don't think it makessense to condemn a methodology that is used by a
large part of theprofessional market. Backtesting single contracts is only
going to work forshort-dated systems.
Andrew-----Original Message-----From: Jay
[mailto:JayTownsend@xxxxxxxxxxxxxxxx] Sent: Friday, July 30, 2004 10:47
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.>>Yahoo! Groups
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