Re: negatives values in TS

["Tom" <planeacres@xxxxxxxxxxxxxxxx>]

Hi Mark,
I have always tried to roll my EOD contracts on the first notice day,
along with my real positions. Another possible roll point would be by volume
exceeding the current contract for the next one out.
Most of the time these coincide within one day. Since volume for
daily is reported one day back, it cannot be determined exactly.

When making continuous contracts for systems, I'd assume you don't
want the gaps, but if you were to roll a real position, you do have those
gaps as the real world. Would it not be better to build systems to account
for these roll periods, exclude them from backtesting or have the system
take them into the trading strategy. This would mean exit and re-entry but
counting as a single continuous trade if that were the system's position at
the time.
How do you get continuous contracts into tradestation so they represent the
current contract and are updated? Can you convert to omz from other formats?
The other possible reason for long contract data is viewing the success or
failure of indicators or cycle strategies. I understand that some of the
cycle software like Bressert's, requires lots of history.
See U
Tom
planeacres@xxxxxxxxxxxxxxxx


-----Original Message-----
From: MarkBrown@xxxxxxxxxxxxx
Subject: Re: negatives values in TS


I have even been testing a perpetual real time add on
>for TS that Rich Estrem and Myself have developed. It allows for the
>automatic roll over of futures contracts. The catch is that while we are
>able to produce this contact in real time forward.
>Now why would someone want to do this?
>Because: This allows you to (with great confidence)
>back test a system on the very same data that you trade it on. In my
>mind there is absolutely no substitute for this method of system trading.
>It is very time consuming and expensive to do but so is faulty testing of
>a system when applied to real money. To answer some inquires ahead
>of time, if TS 5.0 ever comes out and we are satisfied with the security
>features of it. The real time perpetual futures contract builder will be
>offered to the public.
>
>Mark Brown
>