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London Sugar roll alternatives compared

Posted: Tue Jul 26, 2011 12:23 pm
by longmemory
To follow up on the Robusta comparison, I tried same and few Volume based rolls for Sugar. Essentially, Volume or Open Int based roll settings provide poor results. This market shows significant day to day variation in Volume. Open Interest meanders, with higher OI in back month and higher Volume in near month.

Best results are Roll by Date, 10 MPDM.

Roll by date has worked well historically and continues to perform well at present time.