ISSN: 1648 - 4460

International Journal of Scholarly Papers


Transformations  in
Business & Economics

Transformations in
Business & Economics

  • © Vilnius University, 2002-2013
  • © Brno University of Technology, 2002-2013
  • © University of Latvia, 2002-2013
Historical Data Formation for Back Test and Technical Analysis in North American Futures Market
Saulius Masteika, Kestutis Driaunys, Aleksandras Vytautas Rutkauskas

ABSTRACT. In this paper we specify and configure historical data of North American futures market for back test and technical analysis. The paper reviews and offers different methods for making continuous futures data series on different time frames. Graphical comparative analysis of the methods like Back/forward-adjusted, Proportionally adjusted, Gann, Perpetual and Nth Nearest is discussed. Authors review the biggest North American futures exchanges and identify the most active contracts suggested for back test and technical analysis. Issues related to futures contract specifications, transaction fees; profitability and position size calculations are also discussed in the paper. Research results can be applied as an up front for back test analysis in futures market and be interesting for researches or market participants applying quantitative market analysis.

KEYWORDS: futures market, historical data, back test, technical analysis.

JEL classification: Gl5, 017, F37.

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