|
PureBytes Links
Trading Reference Links
|
If you review the mechanics of what is happening when your backadjusted
continuous contract series is created, you'll see how it can go negative.
When using backadjusted contracts it doesn't make sense to use either
absolute price levels or percentage changes as any of your indicators. You
need to always use relative price levels. For example, buying when the
price rises by 5 points makes sense, buying when the price rises above 1000
or by 1% doesn't. There isn't anything wrong, per se, and you don't need to
fix your data.
It is just as profitable to buy at -500 and sell at -400 as it is to buy at
3000 and sell at 3100. :-)
I often load the unadjusted continuous contract series in data2 just to be
able to calculate percentages.
Aaron Schindler
Schindler Trading
----- Original Message -----
From: "Clive" <clivesmail@xxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Friday, May 10, 2002 6:08 AM
Subject: Negative prices in chart
>
> I have a chart of the Nikkei and the start of the plot is negative and
from
> then on some prices are also randomly negative. The contract is
backadjusted
> and It is in a workspace with 3 other symbols
>
> Inspection of the data shows that it is OK and it plots correctly in
> Metastock. It is the first time I have seen this weird behavior.
>
> Does anyone know what this is and if so what the fix is?
>
> Clive
>
>
|