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Hello Alex,
How do you back-test with Ratio-adjusted? Thomas Stridsman used
a method that exported results in percentage terms to excel and then
converted everything to current dollar amounts. I was wondering if one
could set up two data streams in TS, say data1 is Ratio adjusted and
data2 is back-adjusted. Everything is run on data1 and the trades are
executed on data2, which preserves price differences. Would this work?
Trey
-----Original Message-----
From: unicorn@xxxxxxxxx [mailto:unicorn@xxxxxxxxx] On Behalf Of Alex
Matulich
Sent: Sunday, September 07, 2003 11:18 PM
To: Yarroll
Cc: omega-list@xxxxxxxxxx
Subject: Re: Continuous contracts
Yarroll:
>Could someone share an Excel spreadsheet to help build continuous
commodity
>contracts, back-adjusted or whatever-adjusted? {Whatever method, etc.}
I used to do this. Eventually I found it easier to just buy the data
from Pinnacle; the price was worth my time to keep adjusting the
contracts and managing dozens of different rollover dates.
If you want free data, AnalyzerXL offers (or did last I checked)
continuous contracts that are ratio-adjusted. It's an Excel add-on that
automatically downloads data.
Ratio-adjusted data is best for historical testing (data never goes
negative, and log relationships between prices are preserved). You
can't trade from ratio-adjusted data though.
AnalyzerXL is available from http://analyzerxl.com - I like it.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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