Posted by Valentino on 04/04/05 - 12:25:45
IP: 2147noDzKyPCU Browser:

Corpo del messaggio

Ciao Furyo. Ti posto le risposte di due analisti tecnici cui ho chiesto circa la rettifica dei contratti futures e un post che ho trovato su un altro forum purtroppo in inglese: Per  quanto riguarda  il cosiddetto 'perpetual', dovresti 'rettificare' la serie storica in base all'incidenza dello stacco dei dividendi. Avrai infatti notato che  dopo lo stacco dei dividendi.il FIB si allinea maggiormente al sottostante . Per quanto riguarda la costruzione dei grafici di continuazione non sono a conoscenza di metodi particolari...su Bloomberg, che noi utilizziamo, esiste una funzione apposita che crea automaticamente il contratto di continuazione..in assenza di uno strumento ad hoc fornito dall'information provider non so se si riesce a costruirlo...mi spiace Grafici rettificati dei contratti I metodi per ottenere una seri storica sono tre: Back-adjusting involves concatenating historical contracts of a given commodity and making price adjustments to smooth the transitions. This adjustment requires applying the raw change in price of the earlier contract with respect to the price of the current (or later) contract. For example, say your series is rolling backward through the quarterly contracts of December, September, June and March of a given calendar year for your commodity. If the price of the December contract were 100 and the price of September were 95 on roll-backward day, this traditional back-adjuster would elevate all prices for the September contract by five. This would be maintained as a delta of five to be added to all past data, beginning with the September contract, on the day before rolling from the December contract. Back-adjusted contracts have a tendency to have their values dip below zero, which can present problems with a variety of analytical programs. If this should be a problem for you, consider using the "Proportional Adjustment (below), detrending, or the Raise Negative Series option. The first two of these will reduce the possibility of negative values in your back-adjusted files, and "Raise Negative Series" will absolutely remove the possibility of negative values in the resulting series. · Forward adjust - A forward-adjusted data series, like a back-adjusted series, involves concatenating historical contracts of a given commodity and making price adjustments to smooth the transitions. In a forward-adjusted contract, however, the prices of the current contract are changed to eliminate the gap between the current and recently expired contract. An important aspect to remember about forward-adjusted contracts is that current prices do not represent actual values for today's markets. · Proportional adjust - This is an enhancement of the original back and forward adjust options. With it, UA will, at your option, proportionately adjust the history of a commodity by percentage or ratio terms, in addition to splicing contracts by adding or subtracting their relative differences into the past. Proportionally adjusted series prepared through ratio multiplications are unlikely to go negative, so there is seldom a need to elevate a series out of negative territory. Contracts are joined by increasing or decreasing successively further distant contracts by a percentage to raise or lower the entire history by the same proportion. Rounding problems, caused by attempts to preserve tick differentials of reported prices, could occasionally push a given series into negative territory. Because the proportional adjustment yields a much milder descending slope of long-term prices into the past, there is much less long-side trading bias that can be captured from the data. An unbiased result that offers realism should be much preferred over a highly profitable and unbelievable result that holds more contributions from inflation than from any perceived trading style or expertise. The idea of proportionally adjusted contracts requires applying the percentage change in price of the earlier contract with respect to the price of the current (or later) contract. Consider the above example where a five-cent difference in price between successive December and September contracts resulted in a five-cent adjustment to all past data with the traditional back adjuster. In a proportionately adjusted series, the fixed delta of five would represent a factor of 5/100 or 105% of the September price for all data in the September contract. This process would repeat at the same percentage for every contract boundary until the series ended.

Per ulteriore lettura

No one has replied to this message.

Faccine Rispondi a questo messaggio

Upload grafico. Solo file tipo: gif, jpg, png, bmp. Massimo Kb 70. I file contenenti riferimenti a siti o programmi diversi da JChart verranno cancellati. Uso: seleziona il files, premi upload e copia il codice che verra' visualizzato all'interno del messaggio nel punto dove vuoi il grafico. Per ridurre le dimensioni: togli la parte inutile, cornice ecc. Grazie.

User:    Psw:  [ L'user non sarà visibile nei messaggi. ] Nick: Mail: Titolo: Testo:

XTrader Forum