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Software to construct a continuous contract?
- Thread starter dyson
- Start date
Quote from dyson:
Anyone know of a software program that will stitch together individual futures contracts into a continuous contract for backtesting? Thanks
Yes. I know. Question answered.
Note: you definitely want a database of daily information (ohlcvi) so you can easily plan which contract to use from which day.
Quote from NetTecture:
Yes. I know. Question answered.
Note: you definitely want a database of daily information (ohlcvi) so you can easily plan which contract to use from which day.
I already have text files with OHLCVOI for the individual contract months. I am looking for software to automate the joining of the files together into a continuous contract.
Any software which does this generally does it incorrectly. From experience you may spend ages and find software and will then be very disappointed by the results. Best bet is to learn to program and write a bit of code, or pay someone to write some code which creates continuous contracts exactly the way you require.
Quote from cashcow:
Any software which does this generally does it incorrectly. From experience you may spend ages and find software and will then be very disappointed by the results. Best bet is to learn to program and write a bit of code, or pay someone to write some code which creates continuous contracts exactly the way you require.
I was afraid of that. My previous searches did not find anything useful.
CSI UA lets you configure backadjustment, http://www.csidata.com/
CSI has very good data - unfortunately it is limited to daily data though. I think the question was to process an existing data series, as opposed to software that gives you an adjusted series. Many of the charting/data apps including CSI, CQG and eSignal have varying degrees of creating a chained series.
Quote from cashcow:
CSI has very good data - unfortunately it is limited to daily data though. I think the question was to process an existing data series, as opposed to software that gives you an adjusted series. Many of the charting/data apps including CSI, CQG and eSignal have varying degrees of creating a chained series.
Thanks, I have used CSI in the past. I should have mentioned my data files are intraday (1 min). CSI is end-of-day only.