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Gaius,
| -----Original Message-----
| From: Gaius Marius [mailto:magnus@xxxxxxxxxxx]
| Sent: Thursday, October 08, 1998 11:17 PM
| To: Omega List
| Subject: Backtesting theS&P
|
|
| Given that the S&P futures were essentially split 2 for 1
| late last year,
| how do we reflect this fact in backtesting. Does anyone know
| the exact date
| when the S&Ps were cut in half from $500 per contract to $250?
I think it was the first trading day in November, 1997. Does anyone else
have more accurate information?
Neil
|
| I was thinking of using something like this:
|
| If date< Splitdate then ncontr=2 else ncontr=1;
|
| Where "ncontr" determines the number of contracts we can
| trade (where in
| this case, we're trying to reflect using 1 contract).
|
| -------------------------------------------------------------
| ----------
| Never, ever, invest any money in a fund
| whose principals include financial academics.
|
| -from www.adtrading.com
|
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