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Samuel:
I assume you are speaking of daily data? Do you know of a way to presto changoe
data files from Omega data into continuous contracts that are adjusted? For tick
data, for instance?
Best,
Tim Morge
Samuel K. Tennis wrote:
>
> It has been said that looking at the performance summary is the first step
> of optimization.
>
> I have written code that exits MOC and re-enters at Market each quarter,
> just to force the system to assume a bit more realistic slippage values.
>
> I normally recommend using backward adjusted continuous contracts. If
> your system used a percentage of price then this type of data may not be
> acceptable unless you divide the market into several relatively short
> overlapping segments.
>
> Samuel
>
> At 12:54 PM 08/27/98 -0700, you wrote:
> >>
> >>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.
> >
> >
> Samuel K. Tennis, VISTA Research and Trading, Inc.
> 8103 Camino Real C-409 voice: 1(305) 273-1321
> S. Miami, FL 33143 fax: 1(305) 273-9164
> skt@xxxxxxxx http://www.gate.net/~skt
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