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Couple of thoughts...
1. you may wish to try big nas futures instead of mini, as there are
occassional huge stop runs in the minis that distort things. The only thing
I use minis for is short term -- where is the market -- when I am placing a
trade.
2. if you don't care about getting data into the server to update real time,
the easy way is to just make ascii files from your data, then use excel to
combine/back adjust the data. For basic backtesting, you can simply adjust
the prices of say the sep contract such that the close on rollover day is
equal to the close on the dec contact so there is no unnatural gap in the
data. Best to start at the beginning of your data and work forward,
re-adjusting the continuous file again for each contract you add.
Chris
----- Original Message -----
From: "Jimmy" <jhsnowden@xxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Friday, September 28, 2001 12:50 PM
Subject: Re: Continuous contract Emini NASDAQ
> I don't trade futures but need continuous contract information for the
emini
> NASDAQ. I have data from the June, September and current contract but
would
> like older data and any suggestions in how to make a continuous contract
to
> test a system. I use TS2k. I have questions like at what date do you
> splice two contracts? Do you drop the last week of trading and add the
new
> contract on? Do you export the data and import it back. Do you do this
to
> the current contract or a different name and symbol?
>
>
> Thanks for any help or a place to look this up.
>
>
> Jimmy
>
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