Hi All, I gather there are lot of posts here regarding back-adjusted data available from CSI, of which i am also a subscriber, but they haven't answered the questions i have regarding this topic..my apologies if the questions somehow are repetive from the postings..
I am currently using the back-adjusted portfolio that Blox provides for usage with CSI. I have some specific questions regarding what some of the settings entail..the settings for the contract (using t-note futures as an example here) and some of my own calculations are posted below.
Q1. As my calculations confirm, the continuous data series being created is back-adjusted and not forward-adjusted. What then is the "Generate Forward" check box thats enabled.
Q2. In my portfolio setting, the "Use only the C++ Back Adjusted" is checked on..from what i understand, the C++ back-adjusted performs forward-adjustment versus the Fortran Back-adjuster, which performs back-adjustment (CSI seems to use the term back-adjusting in its settings loosely wherein back-adjusting could imply forward or back-adjusting)..this is leading to the same confusion as in Q1 above
With regards to my own calculation, u can see that on 11/25th, the march 09 contract had higher open interest than the then-current dec 08 contract..and this set 11/25th as the roll-forward date. The roll adjustment to use was 1.9375, the difference between the close of these 2 contracts on 25th. This roll adjustemnt was used to create the adjusted prices for dec 08 contract for 11/24th and earlier..
The above adjusted price for dec 08 contract for 11/24th and earlier and the actual march 09 prices for 11/25th onwards fully reconciles with the back-adjusted data from csi using the portfolio provided by Trading Blox.
[Back-adjusted closes from CSI are Highligheted in Yellow and those calculated by myself are in Highlighted in Green]
Hope the above manual verification i performed helps others and hopefully somebody can help answer my questions.
Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
1 post • Page 1 of 1