[TLA-2009]

Doe's anyone have any suggestions for finding historical data (daily open, close, low, high, volume) for the ES MINI?

[Tams]

go to the source...

CME Group

[UrmaBlume]

Originally Posted by TLA-2009 »

Doe's anyone have any suggestions for finding historical data (daily open, close, low, high, volume) for the ES MINI?

Attached is 5 yrs daily data for ES in a comma delimited file which can easily be imported into almost any spreadsheet or db.

cheers

[dam5h]

is it continuous, perpetual, or no adjustment made to the prices at rollover? many thanks for submitting the file.

[Tams]

Originally Posted by dam5h »

is it continuous, perpetual, or no adjustment made to the prices at rollover? many thanks for submitting the file.

ES is continuous and perpetual,
ES future is quarterly and requires adjustments to be continuous and perpertual.

[dam5h]

i see no denominations in the file like you describe.

i was also unaware that somehting could be both perpetual and continuous, thought they were 2 separate methods for compensating for rollover.

[Tams]

Originally Posted by dam5h »

i see no denominations in the file like you describe.

i was also unaware that somehting could be both perpetual and continuous, thought they were 2 separate methods for compensating for rollover.

maybe you can explain the two.

[dam5h]

this info is according to jack schwager's "getting started in tech analysis", there may be other interpretations that i am unaware of and there are certainly more than 2 ways to deal with rollover, some use proprietary methods.

a continuous series uses a constant offset to each previous contract. that offset is determined by the difference in the 2 contracts at rollover.

a perpetual, or "constant forward", series uses a time period and weights the 2 contracts in a ratio based on the distance to rollover and the arbitrary time period. as you get closer to the next contract it is weighted more and the current one is weighted less in the price shown.

to me the later is confusing since the current price does not match the current contract's price, i prefer continuous since the only prices that are off are in the old contracts and they are simply "normalized" to the current one.