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Jim wrote:
> Why not leave the data alone, and program into your testing routine
> whatever rollover scheme you chose to employ...
> 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.
I don't see any reason that TS couldn't do this... There are a bunch of
functions in the Data Information/General category in TS2k that could handle
this gracefully.
All the best,
The Omega Man
----- Original Message -----
From: Jim Allen <jallen7@xxxxxxxxxxxxx>
To: Jose Pascual <jpascual@xxxxxxxxxxx>
Cc: Robert Bianchi <R.Bianchi@xxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Sunday, June 13, 1999 4:12 PM
Subject: Re: Continuous vs Perpetual - which one is the best!
> 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.
>
> Figuring this out should be child's play to some of you supercoders, and
> then you could really test as you trade!
>
> 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.
> 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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