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Hi Richard,
Let me first be open to admit that I have not
spliced together different contracts myself. Have just used pre-adjusted data.
So I have no idea what method has been used to mathematically make it
continuous.
I have only helped friends in New Zealand, Brazil
and Canada do their adjustments, and somehow I found their data to be
"flowing" normally.
Yes, the issue of historical data does exist, but
we were purely looking at it from the technical point of view.
I also have not had the inclination to place the
different data sets together, and check out the mathematical relationship
between the adjusted and the non adjusted data.
This may sound wacky, but it is just my feeling,
and I am working towards it. My idea is that the data should not be "spliced" at
the expiry of the contract, but (*shrug*) maybe, a couple of weeks
before the expiry.
A parameter could be drawn up based on open
interest.
It is a fact that any future gets more volatile
towards the expiry, whereas the next period's contract is not that
volatile, because of the mental pressure not being there to square
off.
Have I been able to make myself
clear?
DusantChief Architect<A
href="">http://www.candlestrength.com/
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Richard
Dale
To: <A
title=Metastockusers@xxxxxxxxxxxxxxx
href="">Metastockusers@xxxxxxxxxxxxxxx
Sent: Monday, April 05, 2004 08:27
AM
Subject: RE: [Metastockusers] Re: Bug in
Manual Adjust
<FONT face=Verdana
size=2>
<FONT face=Arial
color=#0000ff size=2>Dear Dusant,
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Be careful if you use a ratio adjustment as you state
(ratio between yesterday's to today's close prices when you roll) when you are
trading futures, as the historical data will no longer be accurate on a points
test basis, nor will the ratio reflect your rollover (as the data is 1 day
lagged). What you should be doing is comparing the close prices of the
two different months on your roll day to determine the difference then
back adjust your continuous chart by adding/subtracting the
difference.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>There's plenty of issues related to continuous contracts
with futures which depend exactly what you want the continuous contract chart
to show and the limitations of how to interpret it too.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>See:
<FONT face=Arial
color=#0000ff size=2><A
href="">http://www.premiumdata.net/support/futurescontinuous.php
<FONT face=Arial
color=#0000ff size=2>for a lengthy article on continuous
contracts.
<FONT face=Arial
color=#0000ff size=2>
Best regards,
Richard Dale.
Norgate Investor Services- Premium
quality Stock, Futures and Foreign Exchange Data for markets in
Australia, Asia, Europe, UK & USA -<A
title=http://www.premiumdata.net/ href=""><FONT
face=Arial size=2>www.premiumdata.net
<FONT face=Arial
size=2>
<FONT face=Verdana
size=2>
From: Dusant
[mailto:dusant@xxxxxxxxxxxxxxxxxx] Sent: Monday, 5 April 2004 2:22
AMTo: Metastockusers@xxxxxxxxxxxxxxxSubject: Re:
[Metastockusers] Re: Bug in Manual Adjust
I have been using the adjust feature, coz the
distribution feature does not always give correct results.
You just need to use the ratio of the previous
close to today's close to arrive at the adjust factor.
DusantChief Architect<A
href="">http://www.candlestrength.com/
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