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Exactly. I use ASCII data which I feed to system modeling programs of my
own design. In addition to a file of S&P futures data (which consists of
front-month contract data strung together withOUT any adjustment), my
programs read a file of rollover data. Each record of this file consists of
a date and a price difference. The price value in this file is the
difference between the current front contract and the next one out
determined about 5 min before the close on the day BEFORE each rollover. (I
manually add a record to this file at each rollover.) If my program has me
in a position on that date and time, it closes the position at that time and
price and reopens it at the same price plus the difference value from the
rollover file.
Carroll Slemaker
> GOOD QUESTION!!!!
>
> In everything I learned (which may not be enough), data of "adjusted"
> continuous contracts, by their very nature, are flawed.
>
> One, why not just use the same-month contract if your trading is that long
> term (a Gann idea)?
>
> Two, again for "long-term" positions, why not just "roll over" to the next
> month and adjust the entry price instead of the whole data base?
>
> ----- Original Message -----
> From: "carrslem" <carrslem@xxxxxxx>
> To: "MATHHEW VON" <matthewvon@xxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
> Sent: Friday, April 12, 2002 13:59
> Subject: Re: Why Continous contract software
>
>
> > For what purpose is "continuous contract" data used? And what form is
> used
> > (ASCII for example)?
> >
> > Carroll
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