|
PureBytes Links
Trading Reference Links
|
> IF I USE CONTINUOUS BACKADJUSTED DATA
> My systems DO NOT care if the T-Bond is trading at 135.00 or 50.00 or even
10.00
1.) Many people say that the Perp data is not real and you cant trade it.
So now your telling me that buy changing the prices of a contract radically
like back adjusted does that's OK?
The only issue with this type of data is that the longer the back adjusted
data file is, there is a chance that the historical data will eventually
back adjust into negative (-ve) numbers. It is at this point that you must
either:-
2.) Well at least you were man enough to admit that the butchering of the
data as in back adjusting can cause the price to go negative. So how does
your system handle that?
> (a) not back test beyond this point because negative numbers may have a
detrimental effect on the calculation of your trading system code or
3.) Oh to deal with it you ignore reality, how nice. I guess you could
adjust so that your systems worst draw down in during that period. Then
when you sell your system you could just leave out that part.
> (b) construct another back adjusted file to back test that time period
which went negative (-ve). You would construct another data file with
different start and end dates to ensure that the historical data does not
contain negative values.
4.) Well this defeats the purpose of a continual contract doesn't it?
> IF I USE PERPETUAL CONTUNUOUS DATA
> Perpetual data weights or "massages" the highs and lows during the trading
days when rollovers take place. This effect causes the following which are
different to real-time trading:
1.) You are wrong and like you say below each person should do their own
homework! You obviously understand back adjusted, but have no grasp of how
Perp data works.
a.) Perp data does no massage the highs and lows during the trading days
when rollovers take place as you state. It massage's the entire life of the
contract from day two. Giving every increasing weight to the next contract
out, making the current contract's influence diminish as time goes by. This
is reality as it happens in the real world.
b. Back adjusted data actually steals the volatility that is undeserved from
the tail end of its contract. Then it pays the fiddler when it DROPS into
the next contract. This FALSE mountain that all you back test junkies LOVE
is good for you HYPOTHETICAL BACK TEST. That is precisely why so many want
to use it, its because your system would not make any money without that
false volatility bubble.
c.) Like I've said before build a system that makes money on Perp data and
you have a system that shows performance that is worst than reality! - NOT
BETTER! I would much better be told the worst case of a system than the
best case. If a system makes money on Perp data then it most likely will
make more money in real life trading and it will be more dependable.
d.) To prove my point how many out there have bought or developed trading
systems on back adjusted data and then seen it fall apart when traded on the
real contract? Now you know the reason that most system sellers and traders
who are looking for capital use back adjusted data. It makes their system
look better than it really is.
> - ranges during this weighting or rollover period are usually different to
the front or the next futures contract. That is, perpetual data creates
ranges that are not "real-life" ranges.
2.) Wrong the ranges more accurately reflect real life, there is a saying
what goes up must come down. The profits your system enjoys as it rockets
up on the expiring contract is brought back down on the ground when you roll
into the next contract out.
> - because the ranges are different to the real-time contracts, the daily
truerange during these rollover periods are different also. This produces
daily trueranges which are not "real-life" trueranges.
3.) We've been over this and though I haven't met the required 28 times to
post, so that you may learn it. I will continue to state that from a real
life point of view Perp data is as good as it gets. There simply is no
better way to blend a futures contract. I enjoy the solitude that
enlightenment gives me on this subject.
> Because perpetual contracts cause the above effects, perpetual contracts
give me false signals on my trading systems during the rollover period. This
being the case perpetual contracts are completely useless to me and my
trading.
4.) Yes I can see where a look into reality would ruin most every systems
trader's day! So by all means stay away from Perp data and continue to
optimize away!
> CONCLUSION
<big snip lets get to the end you said it best> Mark
> Any trader worth their salt should perform this exercise prior to risking
money in the market or else GARBAGE IN = GARBAGE OUT
>
> I hope this helps!
>
> Robert Bianchi
>
>
>
|