Selecting The Best Futures Price Series For Computer Testing by Jack Schwager
ARTICLE SYNOPSIS ...Selecting The Best Futures Price Series For Computer Testing by Jack Schwager
One problem that traders studying commodity markets face is the fact that individual futures contracts have price characteristics that are not continuous with other contracts within the same market. Jack Schwager, author and director of futures research at Prudential Securities, has some suggestions on dealing with this problem.
System traders who wish to test their ideas on futures prices face a major obstacle: the limited life span
of futures contracts. In contrast to the equities market, where a given stock is ...