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kevin shin wrote:
>
> I use Tradestaion RT for charting to trade only futures and futures options
> and confronting this problem.
> When I put a symbol in the symbol portfolio and download all the historical
> data I can get from Dialdata,,,(or whatever the data vendor) there isn't
> much historical data going back,,,,example for SP8H,,,,,only goes a few
> months back to,,,,,for daily bars.
> With this much information on any contract,,,,how can any one analyze long
> term trend,,such as monthly,,or weekly??
> I know for a futures contract, there isn't much activity if you go back
> far,,,,,then how do you guys base your long term analysis??
> I'm not sure if I made myself clear,,,but any one understood the problem,,,
>
> please post the answer on the group,,,,,(I'm sure there's someone else with
> same problem here,,,who just started using any charting software) or If you
> want to know more about the problem,,,,you could email me privately...
Dear Kevin,
Compile and test the instruments as you are trading them is the key
idea.
- If you trade the front contract, keep a history of all front
contracts.
- You may store them in an ASCII file, with rollover date to the new
contract on the same day you would rollover in the real world.
- When backtesting don't forget to include a routine that gets your
positions rolled over (including spread, com and slippage). If your
system looks back over many bars, either don't trade the first bars of
the new contract, or load separately the initial bars of the new
contract for calculation purposes only, or rescale your previous
contract's bars.
Hope this is clear enough...
Gwenn
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