Continuous time series in futures

[Rationalize]

Ok, so the commodity is super secret. Whatever. Plus I never heard of a commods trader ignoring the basis. That's just nuts.

Good luck with the backtesting.

 

[tobbe]

Quote from ganesha:

I disagree, standardizing futures contracts is a very commonly use exercise for backtesting. I know of ample examples of people who trad futures, just trying to understand the procedure. These are real contract which don't have a liquid ETF

When you back adjust you want the properties of the price series to remain the same. The method you've settled for changes the volatility of the data.

There is a reason splicing with backwards price adjustment is preferred. You won't run into negative prices on SIFs and a number of other markets. Don't make it complicated.

 

[Brighton]

Quote from Rationalize:

Ok, so the commodity is super secret. Whatever. Plus I never heard of a commods trader ignoring the basis. That's just nuts.

Good luck with the backtesting.

Yes, the secrecy is strange. People are willing to help, but only up to a point.

If the poster started with "here's what I'm thinking about trading and here is the data I would like," I bet one or more members would tell him where he can get free or low cost futures prices, cash/basis data, etc.

 

[Eyez]

Quote from ganesha:

Not sure how you mean, I am trading futures, there is no liquid spot. For instance imagine commodity markets?

Front-month is the spot month. Get CQG and you can get continuous charts/data very easily

 

[TraDaToR]

I am not sure to understand what you want, but IMO it's better to use simple adjustment than any kind of ratio that will mess up the actual range of movement of one or more legs compared to others.

And if it's only for backtesting , what's the problem with negative values?