|
PureBytes Links
Trading Reference Links
|
Hello
can you or earl on anyone else send me the csi
for sp500 nd100 and qqq
thanks in advance
Ben
----- Original Message -----
From: "M. Simms" <prosys@xxxxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Saturday, December 08, 2001 10:45 AM
Subject: RE: [RT] Continuous Futures Charts
> The technique I use when backtesting with non-adjusted contract data is to
> create a boolean variable to close and then later reopen those positions
> when the contract Rollover date has been hit.
> The below assumes DAILY data bars.
> This eliminates the false profits accrued from the premium difference of
the
> new contract month.
>
> {are we in a position at the date of rollover ?}
> Rollover_hit = date=rollover_date and marketposition<>0;
> If Rollover_hit then Begin
> oldposit = marketposition; {remember the position}
> exitlong("XrollL") at close; {get out}
> exitshort("XrollS") at close;
> End;
> delay = 2; {wait x # of days}
> if Rollover_hit[delay] then Begin
> if oldposit=1 then Buy("ERollL") at close; {get back in}
> if oldposit=-1 then Sell("ERollS") At close;
> Rollover_hit=false; {reset the boolean}
> End;
> > -----Original Message-----
> > From: Rakesh Sahgal [mailto:rakeshsahgal@xxxxxxxxx]
> > Sent: Saturday, December 08, 2001 7:45 AM
> > To: Real Traders
> > Subject: [RT] Continuous Futures Charts
> >
> >
> > RTs'
> >
> > Is anyone using non-adjusted continuous price charts for the futures
> > contracts they trade ( If I am not wrong Earl had mentioned this one
> > once)? Could you please elaborate on how you construct the data set
i.e.
> > how do you tackle the overlap period between two contracts? Do the
> > non-adjusted contracts offer a better perspective vis-a-vis
> > adjusted contracts?
> >
> >
> > TIA for any info you can spare.
> >
> >
> >
> > Rakesh
> >
> > _________________________________________________________ Do You
> > Yahoo!? Get your free @yahoo.com address at http://mail.yahoo.com
> >
> > To unsubscribe from this group, send an email to:
> > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
>
>
>
>
> To unsubscribe from this group, send an email to:
> realtraders-unsubscribe@xxxxxxxxxxxxxxx
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Promise to Quit
Nicotrol will help
http://us.click.yahoo.com/5vN8tD/AqSDAA/ySSFAA/zMEolB/TM
---------------------------------------------------------------------~->
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|