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I have a CD-ROM full of daily OHLCVOI data for contracts going back just
about all the way to inception. According to what I am reading here, my
choices are to either build a psuedo perpetual file which adjusts every
price in the file according to some adjustment scheme, or build a file
consisting of actual prices adjusted either forward or backward by
adding or subtracting the difference between two successive contracts on
some arbitrary date known as the "rollover date".
Why not leave the data alone, and program into your testing routine
whatever rollover scheme you chose to employ. Run your system on March
1970 Corn until the rollover, then May, then July, etc., etc.
Of course, you can't get TS or SC to do it, but Excel or VB or some
such language ought to be able to get it done.
Figuring this out should be child's play to some of you supercoders, and
then you could really test as you trade!
Jim Allen
Jose Pascual wrote:
>
> I had observed that too that its pretty hard to justify and it depends. So better use real futures contract data to trade while using or choosing any of the 20,000 plus available securities from NASDAQ, NYSE, etc... to backtest. It should work on any or else your system is called "Optimized".
>
> At 09:21 PM 6/13/99 +1000, Robert Bianchi wrote:
> >Q: Backadjusted versus Perpetual - which one is the best ?
> >
> >A: It depends on your trading system.
> >
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