CSI Data and Negative Numbers

alfaman · Post by **alfaman** » Tue Jul 20, 2004 3:33 pm

I hope this is the right forum for this question. My question is regarding the elimination of negative values in CSI for use w/ TR(or perhaps another testing platform). I can see that in CSI UA the "raise negative series" option on the back-adjust function does eliminate negative values, but the latest quote provided after this adjustment is made does not jibe with the actual quote for a given market. For instance, if I adjust PB to eliminate neg values going back to '96, the latest update shows me a most recent close of around 155. Currently PB is trading in the 111-112 vicinity. How do I reconcile these numbers if I want to bring my historical testing up to yesterday?
I feel like there is an obvious answer, but can't come up with it.

Thanks,

Steve Somers

MarkH · Post by **MarkH** » Tue Jul 20, 2004 4:01 pm

Steve -

CSI adds a fixed amount to raise the entire data series above zero. This means that the current price also has this fixed amount added to it. To find out how much is being added to a particular series, subtract the actual price from the CSI price. For example, if the CSI price is 150.05 and you know that the actual price is 110.05, then you know that 40.00 has been added to the series. Note: the amount added to the continuous contracts that have negative numbers resulting from linking the contracts varies by contract -- e.g., the amount added to PB will be different than the amount added to CL.

Mark

Forum Mgmnt · Post by **Forum Mgmnt** » Tue Jul 20, 2004 4:48 pm

In VeriTrader we handle this by adding a large enough positive number behind the scenes.

Whenever we display a price to a user, either on a chart or in the orders file we readjust the numbers by subtracting back this adjustment factor.

- Forum Mgmnt

jankiraly · Post by **jankiraly** » Tue Jul 20, 2004 6:30 pm

If you are on the TR mailing list (see http://www.tradingrecipes.com/support.html ) then you can go back and read the messages from July 8, 2004. A user gave away free software that adjusts ascii price data files and eliminates negative prices.

alfaman · Post by **alfaman** » Tue Jul 20, 2004 8:48 pm

Thanks for the reference to the TR board. I saw that post and apparently it is written in PERL, which is Greek to me, and frankly I don't feel like learning Greek at this point.
I guess the raise out of negative option is the only road, and that results are going to be the same. It would be nice if the values were actual though, is detrending a possible alternative?
BTW, thanks so much for the rapid responses.

Steve Somers