After checking around, I am told that the so called "industry standard" for roll dates is as listed on this web site: http://www.pinnacledata.com/clc.html#details
Does anyone have any comments on these dates?
Search found 1 match
- Mon Nov 01, 2004 5:51 pm
- Forum: Testing and Simulation
- Topic: Data set up for backtesting
- Replies: 9
- Views: 10649