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Hello Alex,
Now I'm a bit confused. It was my understanding that
ratio-adjusted data doesn't preserve price differences, which I thought
would mean that performance reports would be inaccurate. However, I just
ran a quick test of a bollinger band system on ratio and then back
adjusted and the difference was negligible, a few dollars. When I
compared yesterday's eod prices of the two different contracts, they
were the same. So, I don't understand why one can't trade the
ratio-adjusted.
Trey
-----Original Message-----
From: unicorn@xxxxxxxxx [mailto:unicorn@xxxxxxxxx] On Behalf Of Alex
Matulich
Sent: Thursday, September 25, 2003 5:22 PM
To: Trey Johnson
Subject: Re: Continuous contracts
Trey,
> How do you back-test with Ratio-adjusted?
The way I back test with ratio-adjusted data is simply to trade the
ratio-adjusted data as if it were real.
>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?
Yes but you have to put ratio adjusted in data2, and trade
back-adjusted data1 (you can't trade data2 in TS anyway).
-Alex
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