Paper trading and roll of contracts, how to?

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Mats
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Paper trading and roll of contracts, how to?

Post by Mats » Thu Apr 03, 2008 8:34 am

Thanks for any advice/help

I had a system developed in Trading Blox that i am papertrading at this moment. From what i understand the roll of contracts is determined by the CSI data feed?

Must i take all the daily data from Trading Blox website, import it every day into trading blox to roll contracts as my backtested systems did? I backtested on the demo database with csi data from 1997-2007.

In real trading

Is any special contract roll strategy prefered?

Open Interest ?
Number of days/weeks before expiry?
Contango or backwardation?
Depending on contract?

Any advice appeciated!

sluggo
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Post by sluggo » Thu Apr 03, 2008 9:01 am

One approach that might be appropriate for some people:
  • Spend money on backtest software
  • Get "sample" historical price data
  • Test and optimize trading system on sample data
  • Papertrade trading system for a while
  • Spend more money on real historical price data & rollover software from data vendor
  • Experiment with rollover options in data vendor's rollover software
  • Retest and reoptimize trading system on real price data using your chosen rollovers
  • Papertrade modified trading system for a while
  • Allocate more money: open account and begin trading
If a person decides "This isn't for me" or "the results aren't sufficiently good" somewhere in the sequence, they obviously skip all subsequent steps and all subsequent expenditures of money.

Mats
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I agree on your advise..

Post by Mats » Thu Apr 03, 2008 9:32 am

Sluggo

I am a Blox user and had done the first four things that you mention.

What i am asking myself is:

Is it worth the effort to analyse the roll strategy in depth, is it giving payback on system performance in your view.

Should i choose a simpler roll strategy in the first place as for example roll one week before the last day of the contract.

I only have metastock data today and that data is not backadjusted as i understand.

I prefer to backtest on the data and futures delivered with blox?

Thanks for any advice.

Roger Rines
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Re: Paper trading and roll of contracts, how to?

Post by Roger Rines » Thu Apr 03, 2008 10:28 am

Mats wrote:From what i understand the roll of contracts is determined by the CSI data feed?
Your statement isn't a good reflection of how contract roll timing is controlled. For certain, CSI provides the mechanism, but you as the CSI data user really control the timing, because you make the roll-timing decisions when you setup each contract in CSI’s software.
Mats wrote:Must i take all the daily data from Trading Blox website, import it every day into trading blox to roll contracts as my backtested systems did? I backtested on the demo database with csi data from 1997-2007.
I guess if you want to punish yourself, you could download the data each day from Trading Blox, but you will be better served and less dependant upon another person if you just use your own CSI subscription service to maintain the contracts. To do otherwise would seem like an un-necessary risk, that can cost many times an annual subscription cost.
Mats wrote:In real trading Is any special contract roll strategy prefered?
Open Interest ?
Number of days/weeks before expiry?
Contango or backwardation?
Depending on contract?
In my world, trading is an art. In simple terms, I want to make the roll-timing decisions each day based upon what I see happening in the market. However, if you spend time with each of the methods you mention in you posting, it might be worthwhile to test how they perform with your system.

Another option would be to decide to make roll timing decisions x-number of days before a contract expires. This gets you away from all that “trading is artâ€

Mats
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Paper trading..

Post by Mats » Thu Apr 03, 2008 12:33 pm

Thank Roger for your comments.

It seems that it is time to invest in a good datafeed (instead of Reuters Datalink) . I have worked with stocks a long time, futures is a new world for me, therefore my questions.

Trading is an art, i acknowledge that, and i really appreciate your comments. I had investigated further and see that som rollover strategies can be very profitable with the right contracts.

I would really like to have some locals guys to discuss here but this kind of futures trading is not common here in Sweden.

Thanks very much for your time, i will investigate further and see if i come up with some kind of profitable roll strategies. I am working with a LLTF Donchian system and really do not know right know if this is usable in this system.

Maybe this is subject to system of its own?

Roger Rines
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Post by Roger Rines » Thu Apr 03, 2008 2:41 pm

Mats wrote:It seems that it is time to invest in a good datafeed (instead of Reuters Datalink).
At your stage of the game, I wouldn't add a live data feed to the mix. Instead, go with a CSI subscription and use the free charting at places like Yahoo Finace to see what you might want to see during the day.
Mats wrote: I have worked with stocks a long time, futures is a new world for me, therefore my questions.
No worries Mat. It would be best for you to keep asking questions until you find what makes you comfortable. It is also best if you spend time getting an understanding of how the different futures markets differ, so you can get some comfort in trading them. I doubt it would be good for you to put real money at risk until you've gotten more comfortable with the markets and the oscillations in equity that will result. Your stock experience can be of some help, but not enough to make me comfortable.
Mats wrote:Trading is an art, i acknowledge that, and i really appreciate your comments. I had investigated further and see that som rollover strategies can be very profitable with the right contracts.
I think this is true when a trader can spot the early onset of a weather market, or some fundamental market shift like what recently hit the grain and precious metal markets. Getting a feel for how to take advantage of changing fundamentals takes a little while, so have it on you list of things to learn about the markets.
Mats wrote:I would really like to have some locals guys to discuss here but this kind of futures trading is not common here in Sweden.
One of my friends, Thomas Stridsman lives in Sweden and might be of some help in discovering some locals interested in futures trading. Click on his name above and you'll discover his email address where you can send him a message. In your message you can mention we had a little chat here and that I pointed you in his direction. Thomas is an easygoing chap and has developed a lot of experience in the futures business. He also has a couple of books in print: Trading Systems That Work and Trading Systems and Money Management. Thomas' books might be in your library there in Stockholm. If you venture down to the library, spend some time browsing through "A Complete Guide To The Futures Markets, by Jack D. Schwager. This last book is a large volume that covers a lot of ground, but if you scan through it and use it as a resource, you won't need to read it all, especially if you get the futures exchanges to send you their information. Exchanges give most of their information out for free, and it can be a great resource for those early on the learning curve.

Good luck!

Mats
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Valuable advice

Post by Mats » Fri Apr 04, 2008 2:35 am

Roger

Thanks for you for your valuable advice. I had Thomas book and a lot other on my desk, this is really good book. I will use the email ref and see if i can find some local interest here.

Thank you/Mats

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