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On 5/27/98, Tim Proeber wrote:
>It seems that to optimize and to try to get the best P&L from continuous
>contracts would be detrimental, not helpful at all.
>
>Would it be better to test the last 6 months to a year on actual past
>contracts? Would this not be more of a reality based testing?
>
>Any suggestions?
Lately I've been constructing my own files using open interest as the
determinant in rolling over to the next ACTIVELY traded contract month - as
soon as the open interest in, e.g., March Silver is exceed- ed by the open
interest in the May contract, I delete the remainder of the data for March,
all the preceeding data in May, and tack the May data onto what's left of
the March data. Some of the months in silver are so thinly traded, I have to
discard them completely (Feb, June, etc.). Before saving the modified
'March' contract, I rename it SI_cont or whatever, and continue the process
with July, etc. Since this is tedious and extremely time consuming, I wonder
if anyone out there knows of a program that can do this using ASCII data in
any format - without having to buy the vendor's data updates ! Right now, I
get my updates for free but they're in a slightly different sort of format
than most ASCII data; and from what I've read lately, the quality of some of
the better known paid-for data is suspect, to say the least ! Mine may or
may not have errors, but the price is right and I haven't yet noticed any
glaring mistakes when I print the charts. The main advantages to this kind
of linking is that it eliminates the spottiness that occurs early in a
contract and if you're into Elliott Wave analysis at all, it also gets rid
of the overlaps that you'll find within an individual contract. Well, that's
enough for now.
Bye y'all
Dennis C.
dconn@xxxxxxxxx
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