Contract Rollover - Back Adjusting - Continuous Contracts.

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Guest
Contract Rollover - Back Adjusting - Continuous Contracts.

Postby Guest » 09 Jun 2006

Hi Alex (and all at TS)


Well its contract expiration time and I wondered what the best procedure is to rollover? What exactly does the expiration parameter do in quote manager just 'turn off' the current contract.

Ideally I'd like to be able to include the June data in the September contract somehow. Is there an easy way to do this? Do I have to export every June contract and then import them into Septembers contract?

How do I back adjust the data? I notice that you have a volume & price multiplier on the import screen. But the what is required to back adjust data is to add or subtract the difference in close from new contract close to old contract close for all the old contract data. This way you don't get a jump in the contract price and it is still aligned to a tick boundary. (multiplying is no good as it aligns the old data away from tick boundaries).

Most system guys will require back adjusted data (though there is an argument to test both with and without back adjusting), I guess we will see it along with backtesting?

Cheers,
Nick.


P.S. as another poster mentioned a 'synthetic' continuous contract e.g. ES #F would be useful. This would automatically roll over the underlying contract at a specified day of the month. This would be GREAT and get a strong thumbs up from me (and I imagine anyone else that trades futures). Why not let the computer do all the admin tasks, data management need not be a chore!

Guest

Postby Guest » 09 Jun 2006

This was discussed here on the forum quite some time ago,and there were several different requests/suggestions given for various ways to construct backward adjusted continuous contracts,including a reference to a paper by an MIT math guy who described some of the techniques available.

Management here acknowledged,but I don't think anything further has been posted by them about this implementation into MC.

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Alex Kramer
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Joined:23 Feb 2006

Postby Alex Kramer » 09 Jun 2006

Duplicating my reply to the "ES #F" topic, so this theme is not left unanswered:

We intend to implement automatic rollover in the future, this is in our upcoming features list, so I hope your desires will be fulfilled.

As of now, MultiCharts just does not have the necessary algorithm impemented, this si why there's no automated rollover.

Guest

Postby Guest » 10 Jun 2006

My main concern is things as they are now, how should one deal with rollover?

What does the existing expiration parameter do?

How can one merge old contract data with the new front month? Ascii export and re-Import?

To be honest back adjusting is not something I have a particular requirement for. I was just pointing out that it is important for some (mainly mechanical 'system' traders).

Cheers,
Nick.

P.S. forget the 'clever' math needed for continuous adjustment its actualy not that hard but more to the point not needed :-) It just takes into account fair value, days to expirtaion and the cost of carry. (much as in evaluating the future against the cash except on a rolling basis). Back adjusting using a simple offset is the way to go!

Guest

Postby Guest » 12 Jun 2006

Thanks, nice and easy.


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