When do you roll over ?

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ycentrino
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When do you roll over ?

Post by ycentrino » Sat Jun 09, 2012 7:53 am

Hello,

Let´s say you are considering to follow a Turtle like strategy, what would be your rule set regarding roll over?

For me it seems like this is something every trader decides from his gut. Even Way of the Turtle mentioned that the turtles rolled over "a couple of weeks" prior expiration date.

Would be great is somebody could provide me more specific information on that.

Thanks a lot!

Tim Arnold
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Post by Tim Arnold » Sat Jun 09, 2012 9:58 am

I've tested lots of roll over strategies. You setup CSI UA to rollover early, or with OI/Volume, or late, etc. and then test your developed systems with these various back adjusted data sets to see how the choice of rollover affects the system results. It's critical that you choose a roll over strategy for backtesting that is consistent with how you will roll in real trading. The roll over timing matters, and must be synched with your desired system strategy.

That said, when it comes to the actual roll, the target will be the desired spread based on the defined roll strategy, but you can still play with the spread trades since you generally have time to work it. Many people can make money on these roll spread trades, and reduce the system slippage over time. Just make sure you account for the roll spread trade separately from your system performance.

sluggo
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Post by sluggo » Sat Jun 09, 2012 10:24 am

Tim Arnold wrote: ... when it comes to the actual roll, the target will be the desired spread based on the defined roll
strategy, but you can still play with the spread trades since you generally have time to work it.
Many people can make money on these roll spread trades, and reduce the system slippage over time ...
A previous discussion: viewtopic.php?p=15331&highlight=pryor#15331

rdh2f
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CSIs "Advanced Backadjuster" and rollover thoughts

Post by rdh2f » Wed Jul 18, 2012 11:24 am

As I understand it, CSIs "Advanced Backadjuster" actually creates a Forward adjusted contract. While that may be accurate on how one would roll in real time, it seems too dependent on when your data starts, as well as creates a current contract price that is not the actual current contract price to trade.

I'm prone to think the more traditional back-adjustment method is the way to go if one wants to generate orders in real time using Blox and incorporate continuous contract CSI data into spreadsheets for indicators etc...

If anyone has thoughts or insights, I'd appreciate...

Another aside:
The way I currently roll is to set specific dates for financial futures to roll prior to expiry (rates, equities, fx) while rolling "storage" futures using OI rollover (grains, metals, meats, energy and softs)

thoughts appreciated!

Roger Rines
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Re: CSIs "Advanced Backadjuster" and rollover thou

Post by Roger Rines » Thu Jul 19, 2012 4:09 pm

rdh2f wrote:As I understand it, CSIs "Advanced Backadjuster" actually creates a Forward adjusted contract. [SNIP]
This is true, but system traders quickly learn to not select that method.

Instead, select the Back-Adjust option and enable for the "Enable Forward" option so the roll method begins at the beginning of the data. This option also eliminates the problem with CSI roll-backward to an earlier contract period.

It is also important to use the latest release. That release fixed many of the roll-timing issues with it added Representative Prices option "Close New - Close Old Same Day" selection.

Demon

Post by Demon » Fri Jul 20, 2012 3:36 am

rdh2f, I think you may be getting Forward Adjusted and Forward Generated confused with each other. The Advanced Backadjuster allows Back Adjusted contracts to be Generated Forward so as Roger Says, it won't roll back into an earlier contract.

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