Naming Conventions
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Whether you are viewing a chart or saving a file to disk, it is important to be able to identify the time series at hand. Unfair Advantage handles the identification process through the use of very descriptive filenames. Filenames for conventional (normal) futures contracts are straightforward and easily mastered. However, computed contracts (adjusted, Perpetual Contract data, Gann, etc.) offer a challenging mix of parameters, each of which is revealed in the filename.

The filename for a normal futures contract is determined automatically based on your choices during your selections for this specific portfolio. You can review and change these entries by selecting the appropriate portfolio from the Portfolios box and then clicking the [Edit] button just below the name. Click the ASCII formats tab to view your settings.

UA does not emulate QuickTrieve in its handling of computed contracts and file naming conventions. Naming conventions for computed contracts can be employed only as long as the files are in ASCII, or dBase (all the ASCII-like) formats, and even then, the filename cannot deal with the switching or non-switching months or some roll-forward criteria.

Normal Futures Contracts

The filenames for normal future contracts typically include a symbol, the numerical delivery month and the delivery year. An ASCII file might be listed in your portfolio as:

ASCII comma w/century daily file -->LC_1997M.CSV

This would follow a header identifying the commodity. The actual filename (at right) shows the symbol (LC for Live Cattle with an underscore padding the three-character field), the delivery year (1997), a single-digit delivery month code (M for June) and a three-character file extension as selected by the user. Alternate presentations can include a code identifying the exchange and other options. A numerical delivery month code 1 - 12 can replace the alphabetic exchange-based one shown here:

F - Jan   G - Feb   H - Mar   J - Apr   K - May   M - Jun   
N - Jul    Q - Aug U - Sep   V - Oct   X - Nov   Z - Dec   

Nth Nearest Future Contracts

The conventional contract closest to delivery has traditionally been identified as the "nearest future contract". In practice, however, commodity traders have a different view as to which contracts should be included in the list of candidates to consider for nearest future treatment. Unfair Advantage gives great leeway in determining which contracts are to be included, how far out the market should look and when the rollover date should be. UA's file-naming structure of rolling rules for nearest future (and back-adjusted) contracts is as follows:

SSS    Symbol

I    Number of months to ignore in hexadecimal (0-9,A,B,C,D,E,F,N). If the user wishes to roll relative to contract end, then this field will hold a 0. In general, the "ignore" value represents the number of months before the expiration month that rolling should occur. Not withstanding the preceding, if rolling is requested to occur with respect to contract expiration, then the character position identified with an 'I' will represent the first digit of the number of days before contract end as described in the rR field below.

rR    If the roll-forward relative date is measured with respect to the month end, rR = relative date + 31; if the roll-forward date is measured with respect to the month start, rR will be set to = a value from 1 to 30; if the roll-forward date is to be the last trading day, then the two characters: _L will be shown in the rR field positions; if the roll-forward date is measured from contract expiration, then the R position will hold an 'X', and the number of days in the two characters: I and r will represent the number of days before contract end where 01 signifies the last trading day, 02 signifies the day before the last trading day, etc. In no event, should the two character: 'Ir' ever hold the quantity 00.

When Rolling is a Function of volume, open interest, either volume or open interest or both volume and open interest. In the event the user requires rolling to be a function of new contract readings overtaking old contract readings in the fields of volume, open interest, either volume or open interest or both volume and open interest, then the following three sets of four rR set possibilities will be written into the file name: _ V, _I, _ E, _ & designates rolling when all readings are well known for a) volume, b)open interest c) either volume or open interest, or d) both volume and open interest. @V, @I, @E, @& designates rolling when all readings are reported for a) volume, b) open interest c) either volume or open interest, or d) both volume and open interest. A V,A I,A E,A & designates rolling when all readings are anticipated for a) volume, b) open interest c) either volume or open interest, or d) both volume and open interest.

N    This is the value of N in an Nth nearest future calculation.

'N'    This is the Nearest future designator (upper case 'N' for a non    detrended series, or lower case 'n' for a detrended series.

Back- (or forward-) Adjusted Data
(Back- Forward- or Proportionately Adjusted)

Back- (or forward-) adjusted files are built from a series of contracts whose prices have been adjusted (either backward or forward) to eliminate the gaps between expiring and newly active contracts. Each of the parameters is explained in Chapter 3. The files are named as follows:

SSS    Symbol
I    No. months to expiry (0,1,2,...8,9,A,B,C,D,E,F)
rR    Same as for Nth Nearest Contract
D    This field combines two parameters: detrend and the computational rolling rule:
Computational rule      Detrend Description         Description D=   
0 = close-to-close       Do not detrend            0   
1 = open-to-open      Do not detrend            1   
2 = close-to-open      Do not detrend            2   
3 = close-to-open w/old gap   Do not detrend            3   
4 = close to open w/new gap   Do not detrend            4   
0 = close-to-close       Detrend to day before the last day of the current contract   A   
1 = open-to-open      Detrend to day before the last day of the current contract   B   
2 = close-to-open      Detrend to day before the last day of the current contract   C   
3 = close-to-open w/old gap   Detrend to day before the last day of the current contract   D   
4 = close-to-open w/new gap   Detrend to day before the last day of the current contract   E   
0 = close-to-close       Detrend to 1st non-current contract         X   
1 = open-to-open      Detrend to 1st non-current contract         Y   
2 = close-to-open      Detrend to 1st non-current contract         Z   
3 = close to open w/old gap   Detrend to 1st non-current contract         V   
4 = close to open w/new gap   Detrend to 1st non-current contract         W      
J Adjustment type: F = forward adjusted; B = Back adjusted; R = proportional. (The redundant notation of upper case letters for non-detrended and lower case for detrended, is used here for consistency with the other computed contracts.)

(Note, when rolling on volume or open interest, the number of months to expiry (I) is not relevant, but a "0" will be introduced into the fourth column of the expressed file name.)

This produces an 8-character file name. For example, JUS133Cb represents U.S. T-Bonds on the Tokyo Stock Exchange (JUS), expiring one month earlier than the expiration month (1), rolling two days before month's end (31+2 = 33). Detrending occurs through the end of the first non-current contract using the close-to-open rule (C) on a back-adjusted (b) series. Note that filenames are the same for contracts that are detrended through the previous contract as for contracts that are detrended through the next-to-last update. If both types are required, they should be stored in different directories through the Portfolio Manager to avoid overwriting.

Gann-Format Data (continuous)

W. D. Gann, legendary commodity trader, discovered long-term market cycles by studying many years of data for the same contract month of each commodity. Since no single contract trades for very long, the combined data from one delivery year with data from the next year in a continuous fashion, always focusing upon the same delivery month. CSI delivers a continuous data file, which produces the same type of year-to-year chart. A Gann-format file contains prices of a specific contract through its expiration or your specified roll-forward date. On the day following the roll-forward date, data for the same delivery month of the succeeding year is included. UA creates Gann-format ASCII files with delivery month codes as follows: 70 + Delivery Month To View -1 = Gann code. Therefore: a December contract would be 81, because is (70+12-1 = 81).

SSS    Symbol
I    Number of months to ignore (0-9)
rR    Roll-forward day of month
M    Gann delivery month (see alphabetical delivery month codes)
'G'    Gann contract designator (upper case for non-detrended; lower case g    for detrended)

Perpetual Contract® Data

This is a proprietary CSI concept, which represents a weighted average of the distant two contracts that lie adjacent to a given period-ahead point in time or, under certain circumstances, an open interest-weighted series, which includes all delivery months. Each of the parameters included in these files is explained in the Portfolio chapter. The filename is constructed as follows:

SSS    Symbol
I    Number of months to ignore (0 - 9)
rR    Roll date of month or _L for last trading day
0-9    Perpetual no. months forward (0 for open interest-weighted series)
'P'    Perpetual Contract designator (upper case for non-detrended; lower    case p for detrended)

Cash Prices

The filenames for cash price series include a symbol and a numerical delivery month code (either 54 for current day cash or 61 for lag day). If the data is detrended, the filename shown is suffixed with a lower case "d." A detrended cash price file might be listed as:

ASCII comma w/century daily file -->LC_54d.CSV