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Cont. contracts or back adjusted contracts are a real turn off, I think. T.
Stridsman points out the risk of using the "wrong" kind of contract oout in
his book. I always felt there is only one way to really test systems and
that is with the real contract. There is only one software that does that
and that is BEHOLD!. It does rollovers even with intra day data. The only
disadvantage is that if you do portfolio testing, it is not using the
overall portfolio value like TR and WLD2 are doing. So I guess it all
depends on what you want to do or put your focus on... rollover or real
money management on portfolio level.
But since the original question was dealing with intra day data, it seems
that you only want to test on a single market, but having the comfort of
using real contracts, go and look at Behold! www.bhld.com.
I personally see the need for the real contract testing with MM, so if the
demand is there .... :-).
Volker Knapp
Wealth-Lab Inc.
http://www.wealth-lab.com
http://www.wealth-lab.de
++-----Ursprungliche Nachricht-----
++Von: Gary Fritz [mailto:fritz@xxxxxxxx]
++Gesendet: Freitag, 12. April 2002 21:44
++An: Gerald Marisch
++Cc: omega-list@xxxxxxxxxx
++Betreff: Re: Why Continous contract software
++
++
++> In everything I learned (which may not be enough), data of
++> "adjusted" continuous contracts, by their very nature, are flawed.
++
++In my experience, continuous contracts are quite valid and are
++absolutely essential for my system testing.
++
++> One, why not just use the same-month contract if your trading is
++> that long term (a Gann idea)?
++
++I want to test system strategies over *years* of data. I need to be
++able to optimize a strategy over a single data stream for that
++period. How else would you do it?
++
++Using back-adjusted continuous contracts, I can normally duplicate
++the exact same series of trades in a "real" contract or in the
++continuous data. The only differences are the entry/exit prices
++(which are obviously different in the adjusted contract) and the
++INcorrect trades taken at the start of the "real" contract because it
++doesn't have enough valid data to "spin up" the system's calculations.
++
++> 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?
++
++Because the price jump at a roll knocks nearly all indicators haywire
++until the price jump slips outside of the "price window" that the
++indicator uses. In theory IIR filters like xaverage have an INFINITE
++lookback, so in theory you can NEVER lose the bogus results from the
++price jump. In reality (especially with TS's limited precision :-)
++it does damp out reasonably rapidly, but it still throws everything
++off for a while.
++
++Just because you don't use it in your style of trading, Gerald,
++doesn't mean it's invalid.
++
++Gary
++
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