CSIs "Advanced Backadjuster" and rollover thoughts

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.
Post Reply
rdh2f
Roundtable Fellow
Roundtable Fellow
Posts: 73
Joined: Mon Aug 16, 2004 5:24 pm

CSIs "Advanced Backadjuster" and rollover thoughts

Post by rdh2f » Thu Jul 19, 2012 9:55 am

As I understand it, CSIs "Advanced Backadjuster" actually creates a Forward adjusted contract. While that may be accurate on how one would roll in real time, it seems too dependent on when your data starts, as well as creates a current contract price that is not the actual current contract price to trade.

I'm prone to think the more traditional back-adjustment method is the way to go if one wants to generate orders in real time using Blox and incorporate continuous contract CSI data into spreadsheets for indicators etc...

If anyone has thoughts or insights, I'd appreciate...

Another aside:
The way I currently roll is to set specific dates for financial futures to roll prior to expiry (rates, equities, fx) while rolling "storage" futures using OI rollover (grains, metals, meats, energy and softs)

thoughts appreciated!

Post Reply