Question about using historical intraday futures data correctly, i.e., gaps between days...

H

Howard

Hello,

I would like to ask some help with regards to historical intraday futures data and backtesting that data accurately or correctly. I currently use IQ-Feed as my data provider and download historical 1-minute data for analysis in Excel. I've been using the continuous @ES# contract for the ES e-mini thinking this to be correct.

By accident, I recently discovered a potential flaw in my logic or systems. I've been using the continuous contract when downloading my data in Excel, but in Ninja I was using the current front month 06-16.

So, while checking my charts and comparing with my tabular data, I discovered that what was a gap down by some magnitude in my Excel data in fact was a fairly significant gap up on my charts. I discovered that using the MergeNonBackAdjusted on NinjaTrader took care of this problem and aligned it with my continuous contract. I could of course also chart the ES ##-## continuous contract directly. So, problem solved, I guess.

However, this made consider the potential pitfalls with using such data. For instance, I use a gap open/down (difference between prior day close and today's open) as something of significance in my systems. So, I would need my data to consistently and accurately depict this difference. Also, I pretty much always compare the current day to the prior day in some kind of way, so yeah, the relationship between prior days in immediate past needs to be correct.

Will the continuous futures contract be good enough for this purpose? Or would I be better of considering actual index data instead?

It would be great if someone could shed some light on this and help me out on this.

Thanks in advance!:)

Howard
 
By looking at volumes, determine a rule for when trading shifts from front-month to back-month.

Up to that date, your gap is measured between current day and prior day using the front-month.

After that date, it is measured between current day and prior day using the back-month.
 
Thank you, abattia.

This sounds like something that could work. However, it also seems cumbersome and I was hoping to smooth this process out.

Is perhaps the way you suggested how IQ Feed already calculates their continuous contract? If so, in effect, I would be using "correct" data by default, using this.

I'm also entertaining the thought of the SPX index, like already mentioned. But I'm not sure how accurate this is for intraday data? And how acccurately it tracks/correlates with the futures that I'm looking to trade?

Thanks.
 
NoBias said:
Use the Index and not the futures contracts i.e. SPX for ES
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I'm thinking it can be a reasonable solution. Have you (or others) experience using this type of data?

I'm very much in tune with the futures market and it is what I will be trading, but I assume the two (SPX and ES) should be pretty similar, no?
 
Howard said:
I'm thinking it can be a reasonable solution. Have you (or others) experience using this type of data?

I'm very much in tune with the futures market and it is what I will be trading, but I assume the two (SPX and ES) should be pretty similar, no?
More...

For Long Term analysis, Cash Index i.e. SPX is all I use...

I never use adjusted futures contracts i.e. "continuous" as each data provider computes them differently.... continuous contracts the absolute worst option....

Near Term I use current contract for Chart Analysis and reference the Index for Gaps...

Futures are a derivative and continuous contracts are calculated/adjustments of a derivative... common sense will tell you nothing is better than the Index.
 
Thank you, No Bias.

Futures are a derivative and continuous contracts are calculated/adjustments of a derivative... common sense will tell you nothing is better than the Index.
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Open today:

ES front month: -9,25

SPX: -2,71

If attempting to trade the ES futures intraday, surely using an index wouldn't be 'better' if the two doesn't correlate fairly well?

It seems like throughs and peaks and the chart in general correlate fairly well, but the Open seems to be fairly different on the two, thus defeating the purpose, i.e., getting an accurate read on the Open.
 
hint: check the bar time... some open on the hour others on the 1/2 hour

Futures do not "open" @ 09:30 EST....

Your initial question was GAPS, hence the tip to use Index for consistency across brokers and Data providers....

For Long term analysis, Index is preferred

For Short term analysis, the Futures contract traded is the most logical instrument.

IF Trading Gaps, then you need make comparison's between the Futures contract and the index, and find the settings which best replicate the Index...

Trading is an art not a science...

Support and Resistance, are not absolutes... but areas of interest....

Some Gaps fill, some never do...

Some overnight gaps fill, others gap and run never looking back...

The only answers to your questions are those which you have done your due diligence, compiled the statistics, and identified when a trade fails and DOESN"T behave as expected...

But in reply to your initial inquiry.... Index > Futures > cont Futures for analysis

Real world, short term trading, it is better to perform the analysis on the actual instrument you are trading...
 
You really shouldn't be needing to attempt lecturing me on statistics. It should be obvious that I'm already compiling and checking statistics.

However, if my data isn't correct, my statistics isn't correct either. That was my concern.
 
Thank you for the reminder why I no longer attempt to help newbies...

Just a waste of time attempting to point people in the right direction

Luckily you are "in tune" with the markets, Good luck when you actually start trading...
Howard said:
I'm very much in tune with the futures market and it is what I will be trading
More...
 
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