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What type of back-adjustment does esignal use in their #F and #F=2 symbols?
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, June 15, 2004 8:59 PM
Subject: Re: Re[2]: EOD Data Services
> >I have wondered about the spot prices and if there was any
> >advantage to using them for any edge.
>
> Some strategies may work better if signals are generated off the
> spot prices and the trades are made in the futures market. Your
> mileage may vary.
>
> Spot prices are also useful for backtesting signals that rely on
> price ratios, percent changes in price, annualized returns, etc.
> Any time you have to compare two prices in history by calculating a
> percentage difference or a ratio, you cannot use rollover-adjusted
> contracts because the calculation would be invalid, especially if
> the back-adjustment made some prices go negative.
>
> Some rollover adjustments are not susceptible to this problem, such
> as CSI's perpetual contract adjustment.
>
> -Alex
>
>
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