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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
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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
