|
PureBytes Links
Trading Reference Links
|
I agree with Mark (big shock :-) and Tim that perpetual data may give
better signals and cleaner chart patterns. What follows isn't for them.
I know those guys understand this stuff inside and out.
The problem is with using perpetual data as data 1 in TS and backtesting
it in a system. I submit that, if you want to get your signals from
perpetual data, it should be data 2. For accurate backtesting stats, you
should enter your trades (data 1) either on real data or, for a long
backtest, on a spread adjusted continuous contract.
Here's the proof. The perp closing prices are from the file on Mark's
web page. The spread adjusted closes are from one of my homemade files.
The DSP numbers are BMI settlement prices. Mark's data only went through
9/98 so I did a simple system that bought the S&P futures on 1/7/98 and
held for 3 months with one rollover.
Date DSP9H DSP9M Perp Sprd Adj
1/7/98 974.00 984.00 975.85 1032.30
2/11/98 1023.70 1034.40 1029.65 1082.00
3/11/98 1068.60 1080.10 1078.85 1126.90
4/8/98 1111.80 1114.00 1158.60
As you can see from the results below, the perpetual data overstates
profits by about 12 handles. Depending on the system, it might overstate
or understate profits but you can be sure they will be wrong. The spread
adjusted data, while perhaps no good for generating signals, gave an
accurate profit number.
Saying it again, perpetual data is fine for generating signals and
plotting on charts. But it should not IMHO be used in TS as data 1 when
backtesting a system. Make it data 2 instead.
Test 1: perpetual data
1/7/98 buy 975.85
4/8/98 exitlong 1114.00
profit 138.15
Test 2: spread adjusted data
1/7/98 buy 1032.30
4/8/98 exitlong 1158.60
profit 126.30
Test 3: real data - roll at the normal time (Wednesday close)
1/7/98 buy DSP9H 974.00
3/11/98 exitlong DSP9H 1068.60
3/11/98 buy DSP9M 1080.10
4/8/98 exitlong DSP9M 1111.80
profit 126.30
Test 4: real data - roll 1 month early to avoid volatility
1/7/98 buy DSP9H 974.00
2/11/98 exitlong DSP9H 1023.70
2/11/98 buy DSP9M 1034.40
4/8/98 exitlong DSP9M 1111.80
profit 127.10
--
Dennis
|