different history data for futures

Quote from intradaybill:

Dear Dr. Ruggiero, I respect you for all the work you have done, but the time someone has been in business means nothing to me. I know people who believe in proven false paradigms all their life. People believed in empirically falsified concepts for thousands of years. A notable example is the idea that the speed of a free-falling object depends on its position, the famous speed-distance law Galileo disproved. Yet, that was not enough to convince some people, they continue affirming their belifs without justification, the well-know problem of epistemology.

Now, given the above, I repeat: if your system trades futures and the results depend on the roll-date or method, you are doing something wrong.

Instead of asking me, what is it that I think people do wrong, you responded with an informal fallacy of an appeal to "have been in business for a long time". As a result, the conversation stops here and there is no reason for me to reveal for free to you or to anyone lese what has cost me time and money to learn, while you appear to know everything.

Thank you for your understanding.
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See I am not saying the systems not profitable with one roll and work great with another. What I am saying the results can be different and possiblity by a lot. If one roll makes 180K with 20K drawdown and the other makes 150K, 15K drawdown. both are systems you might want to trade, but the results are different.

If you though I meant you needed to use a given roll to make a system work correctly that not what I was saying. I am saying results will be different.

Another issue is some data vendors, on volume /open interest rolls where they roll forward then back again then finally forward will remove that first roll after the fact about a week or two after the second roll. This has cause trades to change while I was trading a system. This is why I understand this issue because it cost me money.
 
Quote from Murray Ruggiero:

See I am not saying the systems not profitable with one roll and work great with another. What I am saying the results can be different and possiblity by a lot. If one roll makes 180K with 20K drawdown and the other makes 150K, 15K drawdown. both are systems you might want to trade, but the results are different.

If you though I meant you needed to use a given roll to make a system work correctly that not what I was saying. I am saying results will be different.

Another issue is some data vendors, on volume /open interest rolls where they roll forward then back again then finally forward will remove that first roll after the fact about a week or two after the second roll. This has cause trades to change while I was trading a system. This is why I understand this issue because it cost me money.
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I replied to exactly what you originaly wrote and I did not think of anything more than that.

If "one roll makes 180K with 20K drawdown and the other makes 150K, 15K drawdown", then I can only attribute that to a failure to understand how data and trading systems should be properly integrated. The performance statistics should not change as a function of the roll date, period. If that happens, I hope you understand that this is a doomed process of designing systems.
 
Quote from intradaybill:

I replied to exactly what you originaly wrote and I did not think of anything more than that.

If "one roll makes 180K with 20K drawdown and the other makes 150K, 15K drawdown", then I can only attribute that to a failure to understand how data and trading systems should be properly integrated. The performance statistics should not change as a function of the roll date, period. If that happens, I hope you understand that this is a doomed process of designing systems.
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Murray is right. Adjacent contracts are two different instruments and the sometimes the front-second spread can be volatile around the roll date. Probably a minor issue with something like ES but not with all futures. Plus you are not allowing for the fact some systems use signals from within the market (like volume) which can vary significantly across adjacent contracts.
 
Besides different ways data vendor smay construct a "continuous" contract, it's possible some of teh series you see are from pit trading while others are from electronic trading. Although the actual prices during the same time of the day are extremely close, trading hours may be different.
 
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