Ratio adjusted futures data

August 8th, 2013, 07:37 AM

Has anyone tried them for backtesting? What are the pros and cons when compared to backward adjusted data?

August 8th, 2013, 08:04 AM

You cannot perform backtests on ratio-adjusted data.

If you wish to perform backtests, you can use

-> single month contracts and adjust for spread and rollover gains or losses
-> standard backadjusted contracts and adjust for rollover spread (basically no adjustment)

Ratio-distorted backtest

If you use ratio-adjusted data for backtesting, you will simply get (completely) false results, as all gains or losses for the old contracts are ratio-distorted.

August 25th, 2013, 07:35 AM

Fat Tails

You cannot perform backtests on ratio-adjusted data.

If you wish to perform backtests, you can use

-> single month contracts and adjust for spread and rollover gains or losses
-> standard backadjusted contracts and adjust for rollover spread (basically no adjustment)

Ratio-distorted backtest

If you use ratio-adjusted data for backtesting, you will simply get (completely) false results, as all gains or losses for the old contracts are ratio-distorted.

Thanks but why are so many using them? Are they - let us say - misguided?

August 25th, 2013, 07:39 AM

solotrader

Thanks but why are so many using them? Are they - let us say - misguided?

Not everybody wants to perform a backtest.

And who tells you that many people use ratio-backadjusted charts? I have never seen one so far.

Ratio adjusted futures data

Discussion in Commodities

Ratio adjusted futures data