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London Robusta roll alternatives compared

Posted: Tue Jul 26, 2011 11:24 am
by longmemory
Taking Shane's and RHC's suggestion, I've experimented with a few roll settings for Robusta.

Time interval: 1994 - 2011 July

Setting Robusta to 10 MPDM (Shane's suggestion) and Open Int + Volume to 90% fill rate (my best guess).

To approximate RHC's setting I forced the
"Roll before Expiry = 30 day"
This is not quite equal to "3 END MPDM" as per RHC, but close enough to avoid getting burned.

Results:
1994 - 2005: 10 MPDM rolled more reliably during 90's. The OI + V setting sometimes rolled late, sometimes early, had difficulty catching main liquidity. Since this is not a liquid market, the results should not be a surprise.

2000 - 2005: overall 10 MPDM and OI + V performed similar. OI + V performance improved dramatically and captured more Volume as time went on. Given the higher OI levels, this setting should favor trend followers.

Since 2005: The market became more liquid.
10 MPDM remains a good setting.
If you worry about bad OI or bad Volume data messing up your rolls, the Roll by Date setting will work fine and liquidity is fine.

Most of the days, both setting will trade same contract, but looking at days were two settings trade different contracts, OI + V showed more Open Int on almost every bar. OI + V also captures higher AVERAGE Volume then rolling by fixed date.

Conslusion:
10 MPDM - historically good; work in present era.

2 END MPDM - historically good; works at present time; ought to provide most trendy results, assuming one is a trend follower.

OI + V at 90% trigger and force 30 days Prior to Expiry - might be preferred by break out guys. (Of course fade guys prefer break out guys. :-)

Thanks for the help,

L

p.s. easy way to look at these is with Total Commander, "compare by content".