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Bob Pelletier wrote (re perpetual data):
> The only drawback, if you read Jack Schwager's
> propaganda, is that you will be dealing with prices that are not traded
> by the exchanges. Of course this is not a bad thing as you have found
> out. You trade a real contract, but you get your market direction
> advice from the Perpetual series.
Bob, I think "propaganda" is a bit harsh. IMHO, you need to know your
system inside and out and choose the data for backtesting that will give
the most realistic results with that particular system. Perpetual data
may be better for one system and spread adjusted for another and ratio
adjusted for another.
I think Schwager's point, and I agree, is that perpetual data introduces
a bullish bias into the data. For example, the S&P futures will
currently have a premium of about 1200 points when they first become the
front month. This will decrease to near zero toward expiration.
Perpetual data removes this 400 points/month "downtrend". That may or
may not be a "lesser evil" for some particular system.
The best the data vendors can do is provide a variety of methods for
building continous files along with some educational guidelines about
which method may be best for various uses. The rest is up to the user of
the data. Buying a shiny new toolbox full of the best tools doesn't make
you a master carpenter. :-)
--
Dennis
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