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>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.
I believe just the opposite, I have run studies that show the SP because of
option expiration and especially futures expiration in fact tends to distort
the true market direction. As a contract matures and nears expiration it
becomes more volatile, this volatility causes most systems to fire off
trades that it wouldn't otherwise. I could spend countless hours and demo's
to prove this. But you know yourself when you have applied a system to the
next trading contract out "what happens" your trades are no longer where
they were on the old contract, except for the most recent maybe and thats
maybe. Like Bob says you build a superior model on the Perp data and then
you actually trade the system on that data, but using the actual contract.
Prior to the roll into the next real futures contract I have switched my
trades from the old contract and I avoid that tail of volatility. If
anything the Perp data series will flatten out and tend to detrend a data
series, it surly is the most neutral of all possible data blending methods
>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.
Actually this statement alone shows that most everyone including Schwager
doesn't understand the Perp data series. Every day the perpetual data
progresses the current trading contract is diminishing in value as the next
out is becoming greater in value until the point that by the time the
current contract converges back with the cash as you say the Perp data
series has long ago rolled into the next contract out. Therefore when I get
a signal I believe it to be of a more valid nature.
The most important and significant item that has contributed to my building
a consistently profitable trading model has certainly been the Perpetual
Data Series provided, as far as I know only by CSI. If you build a model
with this type of data then you certainly aren't fooling yourself as far as
the real time profit expectations. Thats my opinion. MB
>The best the data vendors can do is provide a variety of methods for
>building continuos 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. :-)
NO and as far as that goes writing a book about market wizards does not make
you a Market Wizard like in Schwager's case! : - )
Mark Brown
>
>--
> Dennis
>
>
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