For example, csidata.com uses only price back adjustment, but with an optional additive constant to prevent prices from going negative, while tickdata.com allows you the option of choosing price versus return back-adjustment, but there is no option for adding a constant to prevent negative prices.

The first step in creating a continuous contract is to concatenate the prices of the front-month contract together, given a certain set of rollover dates.

with). Some people may decide to roll over 10 days before the current front contract expires; others may decide to roll over when there is an “open interest crossover”; that is, when the open interest of the next contract exceeds that of the current front contract.

Futures Continuous Contracts

exchanges, but institutional brokers such as Lime Brokerage often do.

Survivorship bias is more dangerous to mean-reverting long-only stock strategies than to mean-reverting long-short or short-only strategies. This is because, as we saw earlier, this bias tends to inflate the backtest performance of a long-only strategy that first buys low and then sells high, whereas it will deflate the backtest performance of a

You can find historical split and dividend information on many websites, but I find that earnings.com is an excellent free resource. It not only records such historical numbers, but it shows the announced split and dividend amounts and ex-dates in the future as well, so we can anticipate such events in our automated trading software. If you are

“formulas that assign equal weights to all the predictors are often superior, because they are not affected by accidents of sampling”

a linear mean-reverting strategy between an exchange-traded fund (ETF) and its component stocks, or Examples 4.3 and 4.4,