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continuous CL ## vs that month contract


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continuous CL ## vs that month contract

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  #1 (permalink)
 emini_Holy_Grail 
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I am testing setup for last 4mos and like to know how would continuous contract would help against its month

CL## vs CL0411,0511,0611,0711

would continuous CL ## exact plot that corresponding months's data?

Example, I need to check March 2nd week, April 2nd week, May 2nd week, June 2nd week
thks,

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  #3 (permalink)
 Fat Tails 
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emini_Holy_Grail View Post
I am testing setup for last 4mos and like to know how would continuous contract would help against its month

CL## vs CL0411,0511,0611,0711

would continuous CL ## exact plot that corresponding months's data?

Example, I need to check March 2nd week, April 2nd week, May 2nd week, June 2nd week
thks,

The continous contract CL ##-## is an artificially spliced contract. It will never give any exact results and is not suited for backtesting. The main reason to use continous contracts is to avoid that price moves too far away from the cash market, if you look back over several years.

If you want to test any setups, you should use mergebackadjusted contracts. These are built from single month contracts, and in order to display the correclty, you need to enter appropriate rollover dates and check the offsets first.

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 emini_Holy_Grail 
Dallas,TX
 
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Fat Tails View Post

If you want to test any setups, you should use mergebackadjusted contracts. These are built from single month contracts, and in order to display the correclty, you need to enter appropriate rollover dates and check the offsets first.

Thks Fat tails. How would I use mergebackadjusted contract on a chart and where do I edit the rollover dates and offsets

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  #6 (permalink)
 Fat Tails 
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emini_Holy_Grail View Post
Thks Fat tails. How would I use mergebackadjusted contract on a chart and where do I edit the rollover dates and offsets

To display MergeBackAdjusted contracts, you need to select this option under -> Tools -> Options -> Data -> Merge Policy.


Editing rollover dates and offsets:


First you will need to go to the instrument manager and edit your instrument.

Select the definition tab and make sure that your Merge Policy is set to "UseGlobalSettings".

Then select the tab Misc and scroll down. The last field in the popup is called "Contract months". Mouse-Click into the right side, where it reads "50 contract months defined". You will then be able to open another popup and enter the rollover dates for the contract months. For CL you could use volume crossover to determine the appropriate rollover dates.

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  #7 (permalink)
 Ducman 
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Fat Tails View Post
To display MergeBackAdjusted contracts, you need to select this option under -> Tools -> Options -> Data -> Merge Policy.


Editing rollover dates and offsets:

First you will need to go to the instrument manager and edit your instrument.

Select the definition tab and make sure that your Merge Policy is set to "UseGlobalSettings".

Then select the tab Misc and scroll down. The last field in the popup is called "Contract months". Mouse-Click into the right side, where it reads "50 contract months defined". You will then be able to open another popup and enter the rollover dates for the contract months. For CL you could use volume crossover to determine the appropriate rollover dates.

@Fat Tails,

How would you suggest to build one long file that can be used for Market Replay? Currently I'm building it manually making it a CL ##-## file.

Thanks,

Ducman

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  #8 (permalink)
 Fat Tails 
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Ducman View Post
@ Fat Tails,

How would you suggest to build one long file that can be used for Market Replay? Currently I'm building it manually making it a CL ##-## file.

Thanks,

Ducman

For market replay? No idea. If I want to use market replay I record it first. The file will be played as it is recorded.

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