STIRs, single contract vs back-adjusted price series
Posted: Thu Mar 02, 2017 8:59 am
Typically quant futures strategies trade on or analyse back-adjusted price series data to issue signals or carry out research.
Does anybody have a view whether it makes sense to make an exception for Short Term Interest Rate contracts and use single contract time series? They are fairly liquid over long periods spanning more than 2 years, sometimes, and more importantly may give different signals. Take 3M Euribor as an example. The back-adjusted (on Open Interest) time series has been trending upwards since July 2016. However, the single contract price series of the most liquid month (IMH8) has been trending downwards over the same period.
Does anybody have a view whether it makes sense to make an exception for Short Term Interest Rate contracts and use single contract time series? They are fairly liquid over long periods spanning more than 2 years, sometimes, and more importantly may give different signals. Take 3M Euribor as an example. The back-adjusted (on Open Interest) time series has been trending upwards since July 2016. However, the single contract price series of the most liquid month (IMH8) has been trending downwards over the same period.