London Sugar and London Coffee (Robusta)

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longmemory
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London Sugar and London Coffee (Robusta)

Post by longmemory » Mon Jul 25, 2011 12:44 pm

Hi

Is anyone trading these markets actively?
Is there a satisfactory way to roll these markets for accurate historical back tests and for actual trading? If so, please advise.

I've traded both markets for several years, but abandoned them about 5 years ago. I'd like to trade these markets again since profits were excellent.

The reason why I dropped London Sugar & Robusta had to do with rolling. I could not find a good roll setting in CSI, so hand rolled contracts to maximize liquidity. And the daily effort took its toll.

Thank you,
L

sluggo
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Post by sluggo » Mon Jul 25, 2011 1:18 pm

George Carlin suggests, "If you don't like the weather, move"

A corollary might be, "If you don't like CSI's rollovers, use something else."

An example was mentioned in (THIS) thread: pay someone to write a rollover program (continuous contract builder), perhaps such as
sluggo wrote:The high-end solution:
  • Assign an employee the job of tracking liquidity in each of the markets you trade
  • In each market you trade, that employee decides whether to roll over tomorrow (and which month to roll into)
  • For historical testing, use your own custom built software to prepare backadjusted continuous contracts
  • Your software rolls over based on a file of human-chosen rollover dates
  • Each entry in the file has 3 fields: Date, Contract_roll_from, Contract_roll_into
  • The entries in the historical rollovers file are prepared by an employee, who chose each rollover date (and the contracts rolled) based on an analysis of historical liquidity.
  • Every time you rollover in realtime trading (point 2 above), add a new entry into the historical rollovers file. This ensures your historical testing will roll on the same day that you actually rolled in real time.

longmemory
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Post by longmemory » Mon Jul 25, 2011 1:52 pm

Sluggo,

George Carlin was funny once upon a time but that was a long long time ago. Sitting on his laurels, he worked himself into a rut with knee jerk blah blah which had no relevance to reality...

The question was "is there a setting one can apply in UA which is generally satisfactory".

Please note that even if I had written my own back adjuster (that you seem to suggest) the same question would arise: what is a useful heuristic for rolling London Sugar and London Robusta.

Please read the question.

L

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Post by Wisdom » Mon Jul 25, 2011 3:16 pm

I trade both markets actively. I use date adjusted roll settings as well as open interest roll settings and both seem to work just fine.

longmemory
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Post by longmemory » Mon Jul 25, 2011 4:25 pm

Shane,

Thank you.
For your Roll by Date trigger, what are your settings?

L

rhc
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Post by rhc » Mon Jul 25, 2011 5:50 pm

I don't trade these markets and I don't use CSI, but this is what I see when I open my roll editor for the 2 markets in question.
Attachments
London Rolls.jpg
London Rolls.jpg (127.47 KiB) Viewed 4481 times

Newport
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Post by Newport » Mon Jul 25, 2011 6:44 pm

Hi rhc, That's a pretty slick-looking roll interface. Do you mind telling us what software you use? Thanks.

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Post by sluggo » Mon Jul 25, 2011 8:34 pm

Newport wrote: ... what software (do) you use? Thanks.
I wondered that too, so I decided to use the posted images as clues and Google as a detective.

In those images, the key search terms turned out to be "DataTools" and "Roll File Editor". Hunting for web pages containing both search terms gave this result: http://goo.gl/PVDjJ

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Post by Wisdom » Mon Jul 25, 2011 8:40 pm

Sluggo, that was pretty cool.

Longmemory, For date adjusted I'm rolling 10 days from the start of the month, one month prior.

rhc
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Post by rhc » Mon Jul 25, 2011 9:51 pm

sluggo wrote: . . . . so I decided to use the posted images as clues and Google as a detective.
Wow!!, nice work
Sherlock Holmes, eat yourt heart out!!

This reminds me of a particular unsolicited email I once received for a particular stock pick that was touted as a 'for sure' 10 bagger. "For only $100, you can learn the identity of this stock . . . . act know!!"
It was a stock that had some rare earth mining operation in New South Wales and had produced 165,367 oz of Adamantium (or whatever, can't remember the exact mineral or quantity)

A simple google search using the key words "New South Wales", "165,367oz" and "Adamantium" revealed the name of this company.
Saved myself $100 !!
Didn't act on the info though, and of course it did turn out to be a 10-bagger.

Google, to my mind is the second best invention known to mankind, pipped at the post only by Sliced bread

o.k. I digress . . . . . . back to topic

LeviF
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Post by LeviF » Mon Jul 25, 2011 10:31 pm

What's equally impressive is that Google has already indexed Sluggo's post in that keyword search, less than 2 hours later.

longmemory
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Post by longmemory » Tue Jul 26, 2011 10:13 am

Thank you guys!

RHC, Shane: thank you. I'll try the roll dates and study differences btwn hard date results vs. Open Int + Volume settings.

When looking for Images, try

http://eu.ixquick.com/eng/pics.html

Select "Images"

The query "roll file editor" came back with a single hit, dead on! It was the right one.

For user who are concerned about the Latent Semantic Analysis that major search engine providers perform --without our permission--, IXQUICK is a joy to use.

L

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