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Dear RTs:
Thanks to everyone who chimed in on how to generate continuous futures
contracts using the daily tick data available on the Omega Research web
site. I contacted Omega and obtained the following solution:
1. There is no way to create adjusted continous contracts using the Omega
data, at least not with using Omega's software.
2. You can create non-adjusted contracts which could still be useful if you
are only backtesting daytrading strategies like I am. A non-adjusted
contract will show a substantial price gap in between days when you roll
over contracts (that is, switch from one month to the next month).
3. The way you create contracts is as follows: let's say, for example, that
you want to create a continous contract for the S&P 500. Since Omega's
data currently starts on 1/1/97, you would put into your portfolio the
March '97 contract, since that is the front month at the time we're
starting.
4. You paste in data from approximately 1/1/97 to 3/12/97 (or whenever you
want to roll) into SP H7. You then rename SP H7 to SP M7 (S&P 500 June '97
contract) and then paste in all of the data from 3/13/97 to approximately
6/12/97 -- you then rename the SP M7 contract the SP U7 and continue
through SP Z7, SP H8 and into the present SP M8.
Hope this helps!
Mike
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