jokerjoe

Amazing, clear as mud! lol... Def need to see the handout. He also mentions various websites but can't find any more information. This being a commercial product I suppose it's only a matter of time before it comes out.

I find IRT rollover adjustment a hassle for multiple contracts and then you have added worries of not accidentally overwriting adjusted data with current data. When constructing a c.c. you need to select which contracts to use and when to switch contracts, so I would argue that is not independent of time. I would like to switch when volume further out exceeds that of the front month, ie use the most liquid contract at the time. DTN frequently use the front month which isn't necessarily the most liquid. This is particularly noticeable in soft commodities, in their c.c. series there are periods of months with hardly any volume. This is not an issue they are unaware of as it's been discussed in their forums. This is somewhat digressing from my original question...

Hmmm... I'm mostly interested in where volume clusters, market profile/volume histogram concepts. I see what you're saying about the hi/low swings. I use InvestorRT which doesn't have any c.c. management. Been using eSignal which doesn't have 3rd party adjusted data support, and also DTN which does but doesn't rollover certain commodities "properly" (using the front month when a further out contract is more liquid).

I've been racking my brains trying to sort out back-adjusted data recently, none of the various data providers do it as I'd like them to. However I've been wondering if it's really necessary to back-adjust. Yes - an adjusted series more accurately reflects a positions p&l. However I don't test mechanical systems, I'm more interested in support and resistance levels. No - when a contract expires the price at that moment is good approximation for the spot price. In which case perhaps it makes more sense to just use the spot price. Two problems though. Firstly, the spot price may not be available (eg certain commodities). Secondly, volume is an integral part of my analysis. I'd very much like to hear people's thoughts on the matter.

Saw this in the latest CME group newsletter http://www.cmegroup.com/education/events/2011-06-22-steidlmayers-volume-strip-a-new-method-to-trade.html Sounds interesting, if anyone's in Chicago check it out and let us know what it's all about.