Contract specifications on CSI

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phil.s
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Contract specifications on CSI

Post by phil.s » Mon Sep 17, 2007 7:36 am

Hi. I have a question regarding contract specification in CSI data for backtesting purposes, is it best to use the back adjusted option in CSI data settings or use nearest futures, or a different setting please? For example on back adjusted Crude Oil had a high of $98 a couple of months back but the real high of $80 was only achieved last week.

Therefore if you are using a long term trend filter then 1 option would give a long signal on the filter and the other would give a short signal so it's quite important.

Any comments on this subject would be appreciated please.

RedRock
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Post by RedRock » Mon Sep 17, 2007 10:43 pm

viewtopic.php?t=3005&highlight=pelletier

A good place to begin... Essay on Computed Contracts.

Tim Arnold
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Post by Tim Arnold » Tue Sep 18, 2007 6:08 am

You have to use backadjusted contracts for the trade P&L to work out correctly. This also simulates exactly what you would have experienced in actual trading -- trade what you test and test what you trade.

Trading Blox also makes available the unadjusted close that can be used to check for new all time nominal highs.

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