Contract specifications on CSI

Questions and discussion of Trading Blox and other platforms for non Trading Blox customers. Trading Blox customers should use the Trading Blox Support forum.
Post Reply
phil.s
Full Member
Full Member
Posts: 14
Joined: Wed Dec 31, 1969 7:00 pm

Contract specifications on CSI

Post by phil.s »

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
Roundtable Knight
Roundtable Knight
Posts: 944
Joined: Fri Jan 30, 2004 3:54 pm
Location: Arizona

Post by RedRock »

viewtopic.php?t=3005&highlight=pelletier

A good place to begin... Essay on Computed Contracts.
Tim Arnold
Site Admin
Site Admin
Posts: 9015
Joined: Tue Apr 06, 2004 1:41 pm
Location: Boston, MA
Contact:

Post by Tim Arnold »

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.
Post Reply