Using Quandl Data

If you haven’t come across the great data resource I highly suggest in doing so.  A  portion of the data that I used in writing my latest book came from Quandl, specifically the wiki futures or CHRIS database.  Here is the link:

There is a ton of free futures data.  The different contracts are concatenated into large files.  However, the rollover discount is not taken into consideration so the data “as-is” is somewhat un – testable.  I am in the process of scrubbing the data as well as creating  a “Panama” adjustment to the contracts in the large files.  As soon as I complete this task I will provide the data on this website.  Purchasers of my latest book will find 10+ plus years of history of continuous futures data that I pieced together from several different sources, including Quandl.

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