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The logic problem I have with Continuous Adjusted is that we are using a
data correction method in backtest to "simulate" what is a functional
correction method in live trading.
In other words, *whatever* method one uses in live trading at rollover is
the same method that should be coded into TS. So if you close out the day
before rollover day, then your backtest code should reflect that. If you
wait for the incoming contract volume to exceed the outgoing contract volume
before changing contracts (with or without a day's period of no trading)
then THAT is the logic that should be in TS for the backtest in my humble
opinion.
A lot has been posted during the Oddball debates about the need for "robust"
code to work with data anomolies, and I subscribe to that... so then why are
we working so hard to smooth data artificially in this case, when in fact
the "real life" solution is, once again, to make the code more robust to
this particular jump in rollover price, and thus more accurately mimic what
we are trying to accomplish?
Isn't this a little like backtesting a system on NDX instead of ND?
I think it's very clear why there's confusion here...
Best regards,
Gene Pope
----- Original Message -----
From: "carrslem" <carrslem@xxxxxxx>
To: "MATHHEW VON" <matthewvon@xxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Friday, April 12, 2002 2:59 PM
Subject: Re: Why Continous contract software
> For what purpose is "continuous contract" data used? And what form is
used
> (ASCII for example)?
>
> Carroll
>
> ----- Original Message -----
> From: "MATHHEW VON" <matthewvon@xxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Friday, April 12, 2002 7:49 AM
> Subject: Continous contract software
>
>
> > Can anyone suggest software that will backadjust contracts for intraday
> data
> > to create a continous intraday contract e.g., 5min continous contract
for
> > the sp's starting e.g. on mar 1997 to current contract?
> >
> > Matthew Von
> >
>
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