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With all the e data available today, its a simple matter to simultaneously
download data for all an issue's contracts daily, throughout the year. This
obviously maintains the "integrity" and accuracy of each contract's data.
I think this "integrity" is important and would be lost if past data were
"adjusted" for a continuous contract, rendering the data suspect for
accuracy and thus useless.
I'm sure there are purposes for a continuous contract, but I fail to see
them. Comments?
----- Original Message -----
From: "Thomas Morrow" <thomas.morrow@xxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, July 02, 2003 00:47
Subject: RE Subject:(01) futures contract rollover issues, (02) optimization
>
> Futures contract rollover.
> One way to adjust the data ro get a continuous contract is add or subtract
the difference between the closes of the first and second futures contract
at the time of rollover to a continuous contract. For example, if the July
contract is trading 10 points below the June contract then subtract 10
points from all the data in a continuos contract. This in effect takes into
account the effect of rolling from one contract to another. The continuos
contract will not however have the actual market values of a particular day,
but should in general give the same actual test results for most systems (
there can be some slight problems in cases where you are using % moves).
>
> Optimization.
> In your code use the contract numbers and % profit value as inputs. eg
> Input: A(0), B(0),C(0), D(0), etc....
> buy A contracts .......
> sell B contracts at C profit
> sell D contracts at D profit etc ...
>
> Then optimize the values.
>
> TOm.
>
>
>
>
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