Traders' Roundtable

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

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.

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

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.

Shane,

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

L

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.

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

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

Sluggo, that was pretty cool.

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

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

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

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