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>Does anyone have an opinion / comments / insights on the use of Continuous
>Contracts Data for market analysis of futures? Advantages / Disadvantages?
>
We use the actual contracts, and string them together as you would when
rolling them over. To get accurate results if your program is in the market
you need to have it rollover as well, i.e. selling MOC on the last day of
one contract, then buying the open of the next contract the next day.
I think actual data is the only valid thing for backtesting. Some people
don't even believe in backtesting! I guess you could just flip a coin.
Personally I like to know the odds.
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