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Hello Adam,
It would be a simple thing to exit all contracts at the end of 99 and
buy the same back in 2000, that would avoid giving you a false profit,
the little higher cost in commissions shouldn't upset a good system.
best regards
foolsgold
AH> In 2000 the US 30 year T-Bond future changed its spec and the data I
AH> have from CRB Trader was adjusted to compensate.
AH> CRB Trader say basically the spec was changed from 8% to 6% for the
AH> notional underlying bond.
AH> Unfortunately the pre-2000 data is not back-adjusted, it's all just
AH> nearby-futures with no adjustment at roll-over, all in one file.
AH> What CRB Trader did with their historical data was to lump all the
AH> pre-2000 data into the one file and call it contract 1999Z. This data
AH> came direct from CBOT and CRB Trader didn't change it, apparently.
AH> I have the old original pre-2000 contracts still, and am compiling a
AH> back-adjusted continuous contract.
AH> However when comparing mine against the CBOT data, I immediately see
AH> price differences, sometimes between days, sometimes relatively between
AH> one day's OHLC points and I'm worried about back-testing against it.
AH> My instinct is not to worry about it. Surely the back-adjustment should
AH> iron out price differences due to the spec change, even if in some of my
AH> tests, I have a trade appear which spans that 1999 / 2000 roll-over?
AH> Does anyone disagree?
AH> Adam
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