Sorry - still don't get it

rjay

Active member
122 0
OK - so if you're spreadbetting the DJ you should be watching the FUTURES prices unless you know that your SB company is quoting on Cash price. This I understand.

However, as each Futures contract only last 3 months (at most) how on earth do you do TA & backtesting ?? Do you do this on the index itself ??
 

mmillar

Guest
330 5
rjay,

No-one quotes on the cash price. When D4F says US30 Cash they mean the Futures + x (x is called the 'fair value').

For backtesting you have things called continuous futures. Basically some clever people put all the futures contracts together so you can backtest. In eSignal you put a #F after the symbol (so ES #F is the continuous future for the emini S&P). TradeStation uses @ES (I believe) and when you buy data from companies such as www.is99.com/disktrading they give you a continous future. However, when backtesting you should test against a range of instruments to make sure your general strategy is solid. If your strategy makes tons on money on the ES but loses money on the S&P500 index and the full S&P Future then your strategy is flaky.

Cheers
 

wysinawyg

Active member
186 1
As mmillar said continuous contracts are the way forward. Basically you pick a day when the volume on both the current contract and the one before are both quite strong (2/3 weeks before expiry I think is fairly normal) and look at the difference in the prices on that date. You then adjust all the prices for the old contract by the same amount so that on the date you picked the old contract value is the same as the current one.

i.e. pick your day X on the March02 contract and the June02 contract with March at 915 and June at 920. To create a continuous contract you then just go back and add 5 to all of the March values so that when you get to X they all merge smoothly.

wysi
 

rjay

Active member
122 0
OK, I didn't know about continuous futures.

Historical Data is one thing but does anyone know if there are any free or very cheap suppliers of EOD continuous futures ??
 

mmillar

Guest
330 5
rjay,

Someone else asked a similar question. I don't believe (though anyone feel free to correct me) that you can get hold of historical futures data without paying.

The best I can think of is buying Sierra Chart, then subscribing to MyTrack for one month. Download all the backdata from MyTrack into Excel, then cancel your MyTrack subscription. Voila. Or pay $119 to Disk Trading, which seems remarkably cheap to me.

Cheers
 

wysinawyg

Active member
186 1
One rather nice one I've come across is at http://www.premiumdata.net/products/datatools/historical.php

No idea of the quality of the data but (as the prices they list are AUS$) it is about the cheapest source of wide ranging EOD futures data I've seen. If anyone with access to something they consider reliable were to check out the demo and see if the data looks any good I'd love to hear about it.

Mytrack is probably cheaper ongoing but I'm not sure how far back Mytrack goes and this does the continuous futures thing automatically for you as well as letting you get all the individual contracts.

wysi
 

CityTrader

Established member
665 26
sorry guys, but the SB firms quote based around both the cash and futures prices- they ( well certainly the one's I use) quote a dailly cash price, a Dailly futures price AND a futures price. The first quote obviously based around the cash index- the second 2 based around the futures- although for the cash index- they will just discount back the futures price to cash, rather than using the actual cash index as the futures will move first and tends to be more acurate. Hiope this makes sense?
 
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