Hallo Hr. Knöpfel, hallo Losche,
auch ich finde es gut das man sich darüber jetzt mehr gedanken macht. Ich habe bei den US-Anbieter CSI-Data folgende Auflistung der Adjustierung gefunden (keine Werbung - nur Softwarebsp.; ic habe CSI nicht abonniert):
U.A. comes with software that will transform raw futures contract data for a given commodity into a single continuous series.
A time-weighted Perpetual Contract® data series, which reduces a given futures market into a single continuous series using a constant future-period-forward perspective measured in days and months.
A back-adjusted series in which individual contracts are concatenated over time and adjusted by a delta difference (to provide smooth continuity to the data) as each contract rolls from the current month to a more distant month. Delivery months visited may be dependant upon either a given calendar date relative to the start or end of the month or the magnitude of volume, open interest, either volume or open interest or both volume and open interest, etc. Precise roll timing may be controlled according to the availability of delayed volume and/or open interest reports relative to the current trading day.
A proportionally adjusted series, which is quite similar to the above back-adjusted series, except that the delta adjustment is done in percentage terms. This minor difference helps to avoid situations where a back-adjusted series might move into negative territory. A proportionately adjusted series cannot move into negative territory, but it can approach zero.
A Gann series, in which historical data is transformed into a series comprised of successive historical segments of the same delivery month over successive years. Using this algorithm, the output continuous series becomes a compilation of all July deliveries, for example.
A Nearest Future series, which is an artificial contract representing a concatenation of successive contracts over time, reflecting the price, volume, and open interest of the Nth nearest future. In this option, there is no attempt to account for step-size jumps or drops in price as contracts change from one to another.
Ich möchte hier k e i n e Werbung machen, aber im Gegensatz zu lokalen Anbietern kann diese Software die Kontrakte (End-Of-Day) in verschd. Serien zusammensetzen, wenn sowas ähnliches in Investox/Investox RTT umsetzbar wäre würde mich das sehr freuen. Orginalaussage der L&P Datenbankabteilung "die Adjustierung ist Sache des Kunden, wir liefern nur die einzelnen Monate", leider muss man dann Monat für Monat manuell adjustieren will man eine Zeitreihe zum backtesten aufbauen oder man greift auf US-Anbieter (z.B. Pinnacle, CSI, etc.) zurück; wollte aber hier nur mal die Problematik kurz ansprechen.
Viele Grüße
Roti