Roll/order problem
Posted: Sat Jun 16, 2007 3:27 am
In back testing the Dual Moving average system with the following parameters
in EC (Euro currency)
24 long MA
8 short term MA
Use and hold ATR FALSE
Risk 1%
I have noticed there is a problem with the rolls for example run the data
from 2007-01-01 to 2007-05-01. When you generate orders you will notice that
the system is long the march 07 contract when the march contract has already
expired. Now change the end date to 2007-05-17, generate orders. Exiting the
long position in march (which has already gone off the board) and entering a
short position in Jun.
Now run the same data again with today ending date and it will tell you to
roll from jun to sep which is correct. However it has told you this for the
last several days in the roll information column without ever generating a
order to roll.
Can you please help me get this straightened out.
Thanks
in EC (Euro currency)
24 long MA
8 short term MA
Use and hold ATR FALSE
Risk 1%
I have noticed there is a problem with the rolls for example run the data
from 2007-01-01 to 2007-05-01. When you generate orders you will notice that
the system is long the march 07 contract when the march contract has already
expired. Now change the end date to 2007-05-17, generate orders. Exiting the
long position in march (which has already gone off the board) and entering a
short position in Jun.
Now run the same data again with today ending date and it will tell you to
roll from jun to sep which is correct. However it has told you this for the
last several days in the roll information column without ever generating a
order to roll.
Can you please help me get this straightened out.
Thanks