[R-SIG-Finance] Generic versus calendar futures in trading models

[Jeff Ryan]

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=846f6b0e30deb116c1061f7d46c90b9f
>
>
>
>
>
> "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