Description: This is a link to a set of free futures data provided by www.turtletrader.com. The data is organized by commoditiy. In each zip file is a continuous price file [symbol].txt, its corresponding volume file [symbol]_00.txt, a rolling front month file [symbol]_99#.txt, and a series of contract month files [symbol]_[year][contract month].txt. These files can be easily imported into Excel with the import new data function. Make sure to check comma as a delimiter.
Warning: For those using this data for back testing, do not use the rolling front month file [symbol]_99# as the basis for your testing. The discontinuities from the end of one contract to the beginning of the next will throw off all of your timing signals. Also one should use caution using the continuous price file [symbol].txt as well. This file represents an average of all contract prices for that day. In other words a price you could have never obtained. Also they have no daily range which presents a huge problem for those systems entering or exiting on defined stops. To illustrate the problem I have posted a graph showing the disparity between contract prices in the same commodity here.
For the most accurate testing you should be analysing
each individual contract as they overlap and rolling into the front month
of each commodity while retaining your signals and dynamically linking
your equity and drawdown from the prior month. This can be very time
consuming but it is worth the effort for the increased accuracy. Good luck.
Please contact [email protected] for any additional information
