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Bob,
None. They just slam the next one on.
Jimmy
Wednesday, June 16, 2004, 8:05:29 AM, you wrote:
BR> What type of back-adjustment does esignal use in their #F and #F=2 symbols?
BR> ----- Original Message -----
BR> From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
BR> To: <omega-list@xxxxxxxxxx>
BR> Sent: Tuesday, June 15, 2004 8:59 PM
BR> 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
>>
>>
--
Best regards,
Jimmy mailto:jhsnowden@xxxxxxxxxxxxx
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