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Omega folks:
Reading Mark Johnson's post, I see one piece of confusion of
terms. Let me re-state what I use in my trading:
Besides actual data from the exchanges, tick by tick...
When trading bonds, I use a synthetic contract that takes
the front month's open, high, low and close until the last
trading day of the month prior to the delivery month and
then switch to the 'next front month' for prices. So for
bonds, I looked at the June 1999 day only bond prices until
the first trading day in June of 1999. On the first trading
day of June, I began using the prices of the September 1999
day only bond prices. I paste these together as one long
'continuous' contract and use it for for calculating
confluences of levels [old highs, old lows, old trend lines,
retracements, projections, etc]. I use this method because
it uses 'actual' prices and for these purposes, 'real'
prices work best, even though the prices are from 'older'
actual front month contracts.
When charting weekly and monthly data, I often use a
different style of continuous contracts [and Mark Johnson
would call it perpetual contracts]. depending on the
commodity or financial, these synthetic price series chart
'more true' than adding 'actual' front month contracts
together, as in the first example.
I can't comment on their use in systems trading--I trade
from charts.
I hope this hasn't further confused the issue.
Best,
Tim Morge
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