Generic versus calendar futures in tradingmodels
and CSI is kind enough to put their manual on-line http://www.csidata.com/cgi-bin/getManualPage.pl?URL=back_adjustedcharts. htm -- David -----Original Message----- From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Jeff Ryan Sent: Wednesday, November 12, 2008 12:03 PM To: ryan.sheftel at malbecpartners.com Cc: r-sig-finance at stat.math.ethz.ch; r-sig-finance-bounces at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] Generic versus calendar futures in tradingmodels There is another CSI package on R-forge: https://r-forge.r-project.org/scm/?group_id=229 No personal experience using, but the Alexios (the developer) is meticulous with respect to documentation, and I suspect that translates into the R code as well. Jeff On Wed, Nov 12, 2008 at 11:53 AM, <ryan.sheftel at malbecpartners.com> wrote:
Also if you are looking for a provider of historical futures data with
an
excellent tool for creating every imaginable type of modified or back-adjusted futures, I would highly recommend CSI, www.csidata.com
It
is very inexpensive and some of the best data quality I have seen. And of course there is an R package to access the API:
http://www.itbizvision.com/ion/tiki-index.php?page=RCSI&PHPSESSID=846f6b 0e30deb116c1061f7d46c90b9f
"Brian G. Peterson" <brian at braverock.com> Sent by: r-sig-finance-bounces at stat.math.ethz.ch 11/12/08 12:48 PM To "Jorge Nieves" <jorge.nieves at moorecap.com> cc r-sig-finance at stat.math.ethz.ch Subject Re: [R-SIG-Finance] Generic versus calendar futures in trading models Jorge Nieves wrote:
I am testing an econometric model for trading futures on commodities.
I
am setting up the back-testing phase, but I am facing a dilemma
about
what is the best way to "easy" the transition for when futures mature into the next open contact. For now I am testing the model using the generic CL1 crude front contact. I would like to ensure that the
rolling
after maturity of each calendar contract does not generate false signals. Any one has any suggestion about what will be the best
approach
and why?
My first question is: How are you constructing your continuous series? There are many methods for constructing a continuous series for
futures
and options, and the all have different problems. Also, I think that one of the challenges in creating a backtesting infrastructure for this type of instrument is that you can test a
model
against a continuous series, but you will eventually want to hest
against
historical quote and trade data on real insturments (e.g. tick data
from
the exchange). This raises your complexity immensely, for obvious reasons. Regards, - Brian
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Jeffrey Ryan jeffrey.ryan at insightalgo.com ia: insight algorithmics www.insightalgo.com _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.