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Re: Roll-Over



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Hello HT,

Go to this website http://www.bayou.com/~smcg/cdata.htm.  Steve sells
tick data but also has (free I think) a little routine you plug into
your system that automatically switches to the next contract.  I've
never used it but I expect it will get you started.  Let me know ifl
you can't locate it and I'll dig around.

-- 
Best regards,
 Jim Johnson                           mailto:jejohn@xxxxxxxxxxxxxxxx

Wednesday, May 01, 2002, 3:25:32 PM, you wrote:

H> Hi

H> I am presently using point-based back-adjusted data for testing, like most
H> of us do. It certainly doesn't give the
H> same figures as the real contract data with rollovers. How difficult it is
H> to develop a system
H> which accounts for rollovers? Can it be done in the TS, or any other
H> platform we know of? Is excel capable of that?
H> I am looking for starters here and any info will be gratefully accepted.

H> Of course, the important question remains as to whether this method is
H> superior to the backadjusted method or not.
H> The elegant article by Bob Fulks gives a lot of answers & asks a lot of
H> questions. I do feel only this method can
H> simulate the real life scenario & this may be its only & of course vital
H> merit.

H> Comments?

H> Regards

H> HT