I've bought 20 months of individual generic front-month "tickdata" from the Singapore exchange.
What's the easiest way to create a "back-adjusted" data file for TradeStation simulations assuming that the data should be rolled at expiration?
Is is possible to write an algorithim in Excel to do that ?
The data format is the followings:
date", "time", "close"
1/08/04,10:45,2285
1/08/04,10:45,2286
1/08/04,10:46,2283
1/08/04,10:46,2281
1/08/04,10:46,2284
1/08/04,10:47,2283
Please help. thanks a lot.
"Back-adjusted" data experts please....how could I
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- Roundtable Knight
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Yes CSI is just EOD.
It may be possible to do the back adjusting in Excel - but this seems like a blunt instrument. Excel will puke at the sheer volume of data to start with.
I would use some form of procedural language - C, Delphi, Matlab ... whatever. Doesn't really matter. It would be a trivial task in just about any language.
I presume of course that you understand how to back adjust, there are various techniques.
All the best.
It may be possible to do the back adjusting in Excel - but this seems like a blunt instrument. Excel will puke at the sheer volume of data to start with.
I would use some form of procedural language - C, Delphi, Matlab ... whatever. Doesn't really matter. It would be a trivial task in just about any language.
I presume of course that you understand how to back adjust, there are various techniques.
All the best.