I am going to write an indicator to pull daily futures price data from Quandl, which for some instruments goes back to the 1970s and 1980s--much longer than I am able to get from Continuum. My plan is to import each contract's daily data and then to backtest this daily data. To insure a quality backtest, I've read that I should import individual contracts and then use MergeBackAdjusted, which will apply the correct Offset Value in the creation of the spliced price record. However, if I am going to import the individual contracts, I am going to need to create new expiries that go back further than NT currently lists. For example, CL's expiries and offsets only go back to 2008, however the Quandl daily data goes back to 1983.
I know how to create new expiries via Instrument Manager, but where can I find the correct Rollover Data and Offset Value for each new expiry? Are these published somewhere? Where did NT get them?
Thanks,
Aventeren
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