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> Hmmm. It's not a must have, but one other thing I've always wished for is
a way to say, "Trade this contract so long as it a) is the most active
contract or b) is the spot contract but has at least N days to go, then
switch to the next contract in line, and give me the results for the
calendar year." Then let me switch back and forth through the contracts and
look at the signals. Owen Davies
Owen, I understand what you are talking about exactly. That would be a
useful feature for us futures traders definately. I have taken the lead to
have a Perpetual (trademark of CSI Data) real time intraday data series
made. This will be great for backtesting large data series of intra day
futures contracts. The roll is based on a weighted average that blends the
existing data contract with the next further out.
To calculate Perp data, we first ascertain when contracts are to be
disincluded. For "US" T bonds, with codes of H,M,U and Z we do the
following. Take the month associated with a contract, such as March for "H"
. Go back seven business days. This is expiration. We stop including it 5
business days earlier. From this algorithm we have a real time data file
which currently looks like:
/US 7U 19 SEP 1997
/US 7Z 22 DEC 1997
/US 8H 20 MAR 1998
/US 8M 19 JUN 1998
/US 8U 21 SEP 1998
/US 8Z 22 DEC 1998
/US 9H 22 MAR 1999
/US 9M 21 JUN 1999
/US 9U 21 SEP 1999
/US 9Z 22 DEC 1999
/US OH 22 MAR 2000
We just happen to go out 1000 days in this file. We don't really use the
far away contracts for anything. From here, we calculate Perp data as
follows: Take at most 4 and least 2 contracts from the file until the last
one is greater than ninety days. Weights are given based upon number of
calendar days spent in the included contracts. In other words, near
contracts diminish importance as expiration nears, and new contracts at the
end grow in importance.
Thank You mb
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