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Guy,
Thankyou, for your kind and informative reply. I guess that cash settled
contracts can be switched near the last day whereas non cash settled must
avoid FND so must switch earlier. I can imagine some huge gaps could occur
on some commodities. Do the SP500 gaps affect your indicators and system
tests, or does the C-Bar take care of that? I think you use custom systems
that don't run in MS but rather in a program you developed.
The reason I ask so many questions is that as I become more familiar with
system testing, I want to be sure I don't get false signals on say a two
year out of sample dataset that I may wish to test on.
Chuck
-----Original Message-----
From: Guy Tann <grtann@xxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Thursday, December 31, 1998 4:26 PM
Subject: RE: Data Sevice (continuous data)
>Chuck
>
>I guess that's why the continuous contracts normally go to the last day and
>then switch, to minimize any major price discrepancy. I have seen some big
>gaps though, over the years.
>
>In our own systems we maintain a field called C-Bar (C with a bar over it).
>We also include the previous day's close in the current days prices.
>Therefore we are always able to determine the delta close (the amount
>today's close moved with respect to yesterday's close). That's the number
>that gets added to the C-bar.
>
>In determining our P or L on a given trade, we take the C-bar on the day we
>made the trade and either add or subtract today's C-bar (depending upon
>whether we're long or short) to come up with the total move basis close.
>This technique effectively wipes out any problems caused by switching
>contract months.
>
>Regards
>
>Guy
>
>>>>>SNIP<<<<<<<<
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