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Absolutely Clyde!
You can't trade perpetuals, although they give you a good feel for the
"real" trend; roll-adjusted continuations, such as those provided by CSI
(OI, Volume or Date-determined) are much more powerful and also much simpler
to understand conceptually. Sadly, CSI only provides EOD data. Lack of any
facility to generate RT roll-adjusted data makes it very hard to test
systems which hold positions more than a few days since it becomes
increasingly likely you've missed a roll or are holding a contract past
expiry.
Give us roll-adjusted RT data and we're your's Mark - saves me having to run
a back-end process for this type of stuff.
Rus Newton
-----Original Message-----
From: clydelee [mailto:clydelee@xxxxxxx]
Sent: 29 April 1999 17:53
To: Mark Brown; OmegaList
Subject: Wish List
Please lets go back a few years and do something that
SystemWriter did very well so we can stop worrying about
perpetual contracts and get a little closer to reality.
Let me make up a list of contracts that I want to trade in
a commodity (or just specify all of them) and then have a set of
ROLLOVER RULES which define the manner in which we switch from
one contract to the other and at that point in time generate
a trade that closes the old and opens in the new contract.
I never did understand why this was dropped.
Clyde Lee
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: <clydelee@xxxxxxx>
7910 Westglen, Suite 105 Work: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
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SM available at: ftp://intrepid.com/pub/clyde
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