Continuous Contracts for futures

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.
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scalper
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Joined: Thu Nov 11, 2004 4:14 pm

Continuous Contracts for futures

Post by scalper »

Hi,

I am trying to build my own continuous contract builder. I have finished most the front end GUI and internal logic for reading just about any format of data from all the main venders.

I have been trying to find documents online on exactly how to achieve this task and the rules involved for building continuous contracts. I am a professional programmer and can code anything. I would appreciate any sources or help that would help me in this project.

I a interested in exact rules for:

Forward Adjusted
Backward Adjusted
Perpetual

and any other formats of splicing contracts?

Any help would be appreciated and I promise to send you the utility once its finished. This is for private use only.

Sources would be idea and can be in any programming language.

Thanks

CJ
Roger Rines
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Location: San Marcos, CA

Post by Roger Rines »

At the bottom on this page is the link to our Help file for our Continous Contract Data Builder. In that document you should find what you need for Back-Adjusted Continuous (Best for Long Term System Trading), and No-Adjusted Continuation files (Best for Chart Traders).

Forward-Adjusted contracts use the reverse logic of Back-Adjustment and I don't recommend them for System Trading. Perpetuals use a forward looking process that is too complicated to explain in this post, but you'll probably find a definition of what CSI Data is doing when they create them on their page.
PruBear
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Location: New Jersey

Post by PruBear »

How did this work out? I am interested in programs that can back-adjust raw data. I recently purchased a bunch of raw historical data that is not back adjusted (and therefore of little value for testing).
Does anybody know of a program (the above mentioned or another) that can reliably back adjust raw commodity data?
Roger Rines
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Location: San Marcos, CA

Post by Roger Rines »

From our perspective the program is working well. It is in use everyday and does exactly what we need for our long term trading signals. We'll expanding upon the capabilities of the program as time goes on, but for now it is getting the job done quickly and reliably.
future_liffe
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Joined: Sun Dec 26, 2004 9:05 am

Re: Continuous Contracts for futures

Post by future_liffe »

scalper wrote:Hi,

I am trying to build my own continuous contract builder. I have finished most the front end GUI and internal logic for reading just about any format of data from all the main venders.

I have been trying to find documents online on exactly how to achieve this task and the rules involved for building continuous contracts. I am a professional programmer and can code anything. I would appreciate any sources or help that would help me in this project.

I a interested in exact rules for:

Forward Adjusted
Backward Adjusted
Perpetual

and any other formats of splicing contracts?

Any help would be appreciated and I promise to send you the utility once its finished. This is for private use only.

Sources would be idea and can be in any programming language.

Thanks

CJ
A friend of mine is a C++ developer and is trying all kinds of software. He has mentioned a tool called 'Tuner' a few times. Its downloadable from this forwarded link and I understood there is also a 2 week free trial:
http://download.strun.com/StrategyTuner ... vSetup.exe

Have fun.
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