its a method of adjusting EOD futures data, there are different methods to create a continous chart, thus the price discrepancy. http://www.csidata.com/cgi-bin/getManualPage.pl?URL=nthnearestfuturescharts.htm Representative Prices The Representative Prices trigger was called "splicing" in earlier versions of Unfair Advantage because it refers to how the old and new contracts are spliced together. Representative Pricing is one of several choices in creating back-adjusted data series. This determines how the gap between successive contracts is handled in an attempt to broadly simulate your buying and selling habits for the given market. In adjusted continuous series, UA uses the closing and/or opening price differential on the roll-forward day to adjust and therefore splice the prices into the past. Each of the three main choices, close to close, open to open, and close to open, involves a calculation of the contract price differential (the delta) that is cumulatively applied to historical pricing. Looking backward in time, the new contract price minus the past contract price on roll-from day represents the delta price difference that is added to the past contract prices to form the O-H-L-C of all prices into the past. This applies to the past contract, beginning with the roll-from date and extending backward in time. This way, considering the new and past contract pair, the new contract prices remain unaffected by the back-adjustment splicing process. There is no rigid rule about capturing the old and new contract price differential on roll-to day versus roll-from day. UA offers several options in calculating the delta value to provide precision in preserving the natural gap between the old and the new contracts as either the old-contract gap or the preferred new-contract gap. This option, unavailable anywhere else in the industry, forces the past data to blend together on roll-forward day without compromising the transition from one contract to the next. With this setting, the effects of overnight influences on the market are not lost on the day the contract splicing takes place. Your choices are: · Close old contract, close new contract - Here the close of the new lead contract is compared with the same-day close of the former lead contract and the price difference is applied to all historical data such that the new prices are seamlessly appended to earlier data without a gap. A "close-to-close" back adjuster simulates a buy and sell at market on close order, or a spread order executed at close. The delta in this case is the settlement price in the new contract minus the settlement price in the old contract. · Open old contract, open new contract - Same as close-to-close (above), except that the same-day open prices are used. An "open-to-open" back adjuster simulates a buy and sell at market on open order, or a spread order executed on the open. The order is assumed to be executed one day later than the close-to-close order since open-high-low-close data isn't available until the next close. The delta in this case is the opening price in new contract minus the opening price in the old contract. · Close old contract, open new contract - This formula compares the open price of the new lead contract with the previous day's close price of the former lead contract and applies the difference to all historical data, such that new data can be added without a gap. The "close-to-open" back adjuster simulates exiting the current position at the close of one day and entering the new position at the open of the next. The delta is the difference between one day's close in the old contract and the next day's open in the new contract. The overnight close-to-open price differential is generally small, so the close-to-open choice should be highly representative of the contract to contract differential. This method doesn't reflect the typical trading style, however, so it may not be the best choice for your simulation. A more refined close-to-open adjustment is available through the last two options. · Close - open with old gap reintroduced - With this option, past (from-contract) history is adjusted so that the old contract close equates to the old contract open, such that the close-to-open gap of successive days of the old contract are preserved. The result accurately reflects the old contract when bridging the two-day period from contract to contract. · Close - open with new gap reintroduced (preferred) - With this option, past (from-contract) history is adjusted so that the new contract close equates to the new contract open, such that the close-to-open gap of successive days of the new contract are preserved. The result accurately reflects the new contract when bridging the two-day period from contract to contract. This is the preferred choice because it represents the best future contract to emulate.
its quite hard actually, you never know which trade will trend and which trade will chopp.. plus since multiple active positions are open, it requires a large account starting base, small accounts will blowout.
Thanks. My long term signal I guess like everyone else's are big trend lines and MA's. Was looking for the bounce off the 200 MA Daily. Was getting worried when you were talking long . Thought maybe you knew somethin special . Seems the trend down off the 200 worked for a little while at least. We'll see if we get a wide market break of the lows. Thanks again for letting us into what your thinking. Nite JIM
dominant trends inflection dates long cocoa 11/27/07 long copper 3/24/08 long eurodollar 7/9/08 long ten years 9/21/07 long mexican peso 9/20/07 long gold 1/16/07 long aussie dollars 10/17/06 long swiss francs 10/23/07 long jap yen 1/2/08 long 30 years 10/18/07 long canadian dollar 5/17/07 long silver 12/3/07 long coffee 7/8/08 long crude 10/3/07 long natural gas 5/2/08 long heating oil 10/3/07 short live cattle 10/4/07 short lean hogs 8/10/07 long corn 12/28/07 short cotton 7/7/08