|
PureBytes Links
Trading Reference Links
|
>
> Did you run this on a continuous contract that is back adjusted,
> or just has the front months pasted together?
A follow up:
same data, such as S&P cash or OEX doesn't have an opening quote
in the historical data, so a breakout system may think it can buy
an upside/downside break out at a much more favorable price, because
it doesn't see the opening gap.
And if you use contracts that aren't backadjusted, but just have
the months pasted together, there will be jumps (usuaully up) that
reflect the premium difference between the new contract, and the
expiring contract that will appear to be break out. This may still
give reasonable results, but in real life, you'd be better off doing the
true range calculation on the new contract, and trading it separately.
--
--
| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
|