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Continuously Linked Commodities (CLC) Contract Database
Database cost: $ 99. Optional updates are $14/month (or 1 year at $12/month)
80 popular commodities
You control the linking method
End-of-Day only
Most accurate data available
The CLC DataBase covers the 80 most popular commodities and includes the nearby most active contracts. To seriously backtest futures prices, you must work with the most liquid contracts, then link them together in the most effective way possible. This is their specialty ... the roll over days selected optimize liquidity and continuity, while avoiding First Notice and Last Trading Days.
Over 5,000 individual contracts were used to create this unique set of commodity history.
The free support software DATAMAKER allows you to link the contracts together using the highly recommended forward or reverse adjusted method, or for short term studies, the unadjusted option. Also included is the revolutionary RATIO ADJUSTED LINKING METHOD. This revolutionary new method of linking commodity contracts is described in detail in the June '98 issue of "FUTURES" magazine. (See "Data: Pros & Cons" by Thomas Strictsman). A ratio adjusted series never goes negative and back tests far better to other methods.
WHAT THE EXPERTS SAY:
Jack Schwager (Director Futures Research, Prudential) convincingly demonstrates in his October 1992 "Stocks & Commodities" article that forward and reverse adjusted continuous contracts are the only viable choice for back testing futures series. |
Gibbons Burke (Associate Editor, "Futures" Magazine) writes in the "Futures" July 1992 issue that reverse adjusted continuous contracts "provides the greatest realism". Other methods of linking contracts, such as "perpetual contracts", result in distortions. |
Bruce Babcock Jr. (Commodity Traders Report Editor) writes "I use price adjusted continuous contracts exclusively in my own trading". |
STARTING DATES AND ROLL OVER DAYS DM = Delivery Month MPDM = Month Prior to DM COMMODITY START DATE ROLL OVER DAY ------------------------------------------------------------------ Australian $$, Day Session 1988 8th Day of DM Australian $$, Composite Session 1990 8th Day of DM British Pound, Day Session 1976 8th Day of DM British Pound, Composite Session 1990 8th Day of DM CAC40 Index 1999 2nd Thur of DM Canadian $$, Day Session 1978 8th of DM Canadian $$, Composite Session 1990 8th of DM Canadian 10yr Bond 1994 26th of MPDM Cocoa 1981 9th of MPDM Coffee 1974 11th of MPDM CRB Futures 1987 6th of DM Copper 1989 22nd of MPDM Corn 1970 22nd of MPDM Cotton #2 1973 15th of MPDM Crude Oil 1984 11th of MPDM Dollar Index #2 1989 8th of DM Dow Jones Index, Day Session 1997 Thur prior 2nd Fri of DM Dow Jones Index, Composite session 1998 2nd Thur of DM Dow Jones Mini 2002 2nd Thur of DM Dow Jones Eurostoxx50 2002 2nd Thur of DM Dow Jones Stoxx50 2002 2nd Thur of DM Euro, Day (DMark from 1975 to 1999) 1975 8th of DM Euro, Composite Session 1999 8th of DM Euro, Bobl 1999 26th of MPDM Euro Bond (Bund) 1989 26th of MPDM Eurodollars 1983 22nd of MPDM Euro Schatz 1999 26th of MPDM Fed Funds 1989 22nd of DM Feeder Cattle 1978 12th of DM FTSE 100 Index 1990 13th of DM German Dax Index 1997 2nd Thur of DM Gilt, Long Bond 1989 26th of MPDM Gold (Commex) 1975 22nd of MPDM Gold (CBOT 24hr electronic) 2004 22nd of MPDM Goldman Saks 1993 9th of DM Hang Seng 1997 2nd Thur of DM Heating Oil 1980 11th of MPDM Japenese Yen, Day Session 1978 8th of DM Japanese Yen, Composite Session 1990 8th of DM Live Cattle 1971 27th of MPDM Live Hogs 1970 27th of MPDM Lumber 1974 1st of DM Mexican Peso Ind 1995 8th of DM Muni Bonds 1986 26th of MPDM Nasdaq 100 1996 2nd Thur of DM Nasdaq, Mini 1999 2nd Thur of DM Natural Gas 1991 18th of MPDM Nikkei Index 1991 3rd of DM Oats 1975 22nd of MPDM Orange Juice 1973 25nd of MPDM Palladium 1983 22th of MPDM Platinum 1973 22nd of MPDM Pork Bellies 1970 27nd of MPDM RBOB Gasoline (with HU history) 1985 11th of MPDM Rough Rice 1987 22nd of MPDM Russell 2000 Index 1993 2nd Thur of DM Mini Russell Index 2002 2nd Thur of DM S. & P. 400 1993 2nd Thur of DM S. & P. 500, Day Session 1983 2nd Thur of DM S. & P. 500, Composite Session 1994 2nd Thur of DM S. & P. 500, Mini 1997 2nd Thur of DM Silver (Commex) 1973 22nd of MPDM Soybeans 1969 22nd of MPDM Soybean Meal 1969 22nd of MPDM Soybean Oil 1969 22nd of MPDM Sterling, Short 1989 3rd of DM Sugar, #11 1975 22nd of MPDM Swiss Frank, Day Session 1976 8th of DM Swiss Frank, Composite Session 1990 8th of DM T-Bonds, Day Session 1983 26th of MPDM T-Bonds, Composite Session 1978 26th of MPDM T-Notes, 2yr, Day Session 1990 26th of MPDM T-Notes, 2yr, Composite Session 1990 26th of MPDM T-Notes, 5yr, Day Session 1988 26th of MPDM T-Notes, 5yr, Composite Session 1989 26th of MPDM T-Notes, 10yr, Day Session 1983 26th of MPDM T-Notes, 10yr, Composite Session 1983 26th of MPDM Wheat, Chicago 1969 22nd of MPDM Wheat, K.C. 1977 22nd of MPDM Wheat, Minn. 1981 22nd of MPDM
SUPPLIED FIELDS Open High Low Settle Open Interest Total Volume Total Open Interest