|
PureBytes Links
Trading Reference Links
|
Hi Bob,
I agree with your statement. I was referring to system backtesting and
dealing with the gaps in unadjusted continuous contract data.
Your com. does bring to mind one thought regarding systems though. Often
when rolling a position to another month, I would wait for a better price
knowing that other positions were doing the same, creating some additional
position volume, biasing the price for that transition time. Since every
roll position is really a "new" position, I would second guess with frequent
success, when to re-enter. Wonder if anyone has made and tested a system to
take this potential advantage into account.
See U
Tom
Always Question Authority, they deserve it.
-----Original Message-----
From: Scientific Approaches <sci@xxxxxxxxxx>
To: Omega Mailing List <omega-list@xxxxxxxxxxxxxxx>
Date: Sunday, February 08, 1998 6:12 PM
Subject: Continuous Futures Contracts
>Tom Pederson wrote:
>
>> 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.
>
>A trader who exits one contract month and enters a different one does not
>experience the price gap between the two (only transaction costs) in actual
>trading. It therefore is reasonable to offset the price of one contract to
>match another when splicing them together for long-term back-testing.
>
> -Bob Brickey
> Scientific Approaches
> sci@xxxxxxxxxx
>
|