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Rolling when trading weekly time frame

Posted: Tue Nov 10, 2015 2:32 pm
by JACohen
Does anyone have any tips for rolling when trading a weekly time frame? At present I am using 2nd consecutive trigger, but I'm trying to work out if that is the right one or should I switch to 1st consecutive trigger or maybe something else. Does it even really matter?

I could test to see the difference in effect but I'm trying to build a robust system so I don't want to optimise to that degree. I'm just trying to work out if there is any practical reason to use one method over the other that I haven't thought of.

Re: Rolling when trading weekly time frame

Posted: Tue Nov 10, 2015 7:17 pm
by sluggo
In real life with real money, I recommend performing your rollover trades on the correct and proper day to roll, even if that day isn't a Monday or a Friday or whatever criterion you used previously when you built your weekly data series. Only the top ten or fifteen super-liquid futures markets have adequate volume and open interest in both legs for five consecutive days, so you can wait comfortably and roll on Monday (or Friday). All other futures markets have a two or three day window in which you'll see acceptable liquidity in both legs of the spread trade that accomplishes the rollover. Roll sooner than that or later than that, and you risk a very bad fill in the illiquid leg. Yes this does destroy the pristine purity of "weekly trading" a little bit. It does mean you will have to turn on your computer and trade futures contracts more than one day a week.

Re: Rolling when trading weekly time frame

Posted: Thu Nov 12, 2015 5:34 am
by JACohen
Thanks for that. I'm probably overthinking it :)