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Hi Jim and other list members,
Let me paraphrase ur method. U rename SP H9 to SP M9 (for e.g.) in global
server just b4 the former's expiry. Then u collected/imported data for SP M9
either through your data feed vendor or omega's ftp or historybank.com. I
have already downloaded the entire batch of intraday *.omz for my previous
tests but I did not piece the 3-mth contracts together into a continuous
series. The data availible from omega dates back to May 1998. I doubt if 1
year of intraday data is enough. Presuming I were to use ur method and
string the data together, I would need to do the renaming and importing 4
times for each year. My target data length is 10 years. In that case, I
would have to rename and import 40 times. Global Server is not exactly well
known for speed. I would love to import all the contracts at once and cut &
paste in Global Server but I don't think this can be done. Therefore, I
would have to adopt ur renaming method.
Are there more efficient ways to piece the 3-mth contracts together in a
more efficient way in TS2K? Are there data vendors who sell a continuous
string of futures ticks in a single file?
My method of using $SPX (index) as a proxy is admittedly a lazy way out but
there are several replies from list members that it has its merits.
There were 2 or 3 suggestions that I use the index as data 1 and the futures
as data 2. Then take signals from data 1 to trade data 2. Currently, my
system works splendidly on the index but the results for individual 3-month
contracts were quite dismal. Therefore, how would taking a signal from the
index to trade the futures help? Please pardon my inability to understand
this method. Isn't this similar to running the system on the futures itself?
Maybe, you guys would like to elaborate on how it would work.
Finally, I would like to thank all for the many kind and insightful replies
from the Omega List and the MB's Code List. I earnestly hope that more
assistance would be coming my way. Thank you, all.
-a1
----- Original Message -----
From: <OatTrader@xxxxxxx>
To: <axiom1@xxxxxxxxx>
Sent: Sunday, July 11, 1999 4:48 PM
Subject: Re: HELP NEEDED - $SPX as proxy for SP and ES Futures
> What I have done is started with let's say the June S&P 1998, three months
of
> this data, the day before they switch contracts to the Sept, I rename the
> June and call it Sept S&P, there will be a little difference in price, but
> since all my systems get out on the close, it won't matter much. I keep
doing
> this to the current contract and right now I have data going back to Nov
of
> 1997. You can download from
> www.omegaresearch.com tick data going back about a year and a half for
free
> and put it in like above. When I run backtests, I run thru the data in
pieces
> so as not to optimize my testing.
>
> Jim
_ORIGNAL MESSAGE FROM AXIOM ONE_
Currently, I am using the S&P500 index as a proxy for the SP and e-mini
futures in my tests of daytrading systems. Would the results be valid? It is
a real hassle to piece together 5 years of tick data for the futures
themselves.
Another reason I am using the index is data availability. I have the index
ticks but I am not sure if there are any vendors that sell ticks for each
3-month contract. What is the proper method? Should I run tests over each 3
month period? That would be 20 tests over 5 years.
This are fundamental but critical questions. What kind of data do you guys
use for futures intraday system testing?
Thank you. All advice would be deeply appreciated.
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