CSI back-adjusted contracts settings

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kianti
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CSI back-adjusted contracts settings

Post by kianti » Wed Oct 13, 2004 9:52 am

I am learning CSI Unfair Advantage and I would like to know from other traders which are the best setting for:

· Roll Trigger
· Roll by Days Before Expiration Date
· Generate Forward
· Roll Timing
· Representative Prices
· Accumulation Method
· Confirmation Signals
· Post Processing

I understand that there may not be such a thing as the ‘best’ settings but I feel that opinions from traders that have been using CSI for real trading could be extremely helpful.

Best regards, as ever

Roger Rines
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Post by Roger Rines » Fri Oct 15, 2004 11:57 am

I offered some information in this post that you might find useful:
viewtopic.php?t=1770

My guess is you're just getting started. If that assumption is true, consider using a date based approach for building your contracts to get started. If you understand the dynamics of the market, you could use something like the Volume or Open Interest on the markets that have a physical delivery, Open Interest on the EuroDollar Interest Rate market, Volume in the Currencies, etc.

If you don't use a date approach, you'll be looking at information one-day behind because of how the data is delivered and you'll need to be looking at the timing as part of your daily data updating.

Once you pick an approach make sure it follows the timing of first notice or last trade days as well. This last item can be sourced from the exchanges directly or from the little books the brokers put out each year.

kianti
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Post by kianti » Fri Oct 15, 2004 6:08 pm

Roger,
thanks for the insights,as a beginner I'm using Volume as rollover trigger and back-adjusting.

I see the data problem is complex:
viewtopic.php?t=1780
viewtopic.php?t=1780&highlight=

best regards, as ever

Roger Rines
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Post by Roger Rines » Fri Oct 15, 2004 6:29 pm

Be selective about which markets you apply a volume only trigger.

When large commercial hands are favoring a specific contract, just looking at volume alone can keep you in the contract longer than is prudent. This is especially true of the currencies, which is why you may want to know when the front month on the floor changes, or set a date limit as to how long you stay in.

You are right about how data can be a complex part of trading. It doesn’t get easier when the various data vendors decide to apply their own version of the importance of quality, delivery and format. With that said, the trading task isn’t impossible for those who work hard, think first and are patient with their goals.

kianti
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Post by kianti » Sat Oct 16, 2004 2:59 pm

Roger

Thanks again for the advice, an improvement to take account for the different rollover styles could be to make different portfolios with different rollover rules(i.e. bonds, energy, etc.) and save them in a single directory.I am using EOD data and it seems to me that you have to monitor markets personally, otherwise you rollover one day too late. Also in “The Original Turtles Rulesâ€
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Roger Rines
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Post by Roger Rines » Sun Oct 17, 2004 4:32 pm

Ideally, it is always best to keep an eye on the volume and open interest of all the markets you are interested in trading. In addition, I recommend you also keep an eye on the spread to forward contracts, especially in the physicals like the Grains, Foods and Meats. Do your best to always know where the money is going all the time, and you’ll find this is clearly the best way to keep yourself informed.

As for the statement, “’The Original Turtles Rules’ was mentioned that rollovers were personally monitored in order to spread out the position in the best way.â€

kianti
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Post by kianti » Mon Oct 18, 2004 2:11 pm

Roger
Thanks again for sharing your advice.

I just read “JWH Monthly Commentary September 2004WH September Commentaryâ€

Roger Rines
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Post by Roger Rines » Mon Oct 18, 2004 4:33 pm

kianti,
Your response is a good example of how people find a process that is comfortable to how they think and want to trade. I think this need to find what fits our beliefs is probably inherent is all of us, but it has a larger context when there is money is at stake.

It would be interesting and helpful to hear if they did any testing on using a distant month versus the current contract, and what were the trade-offs they made in the process.

Nice outline of their decision on Crude.

kianti
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Post by kianti » Mon Oct 18, 2004 7:07 pm

Roger.
you will find some charts(not very clear!?!) on:
http://www.jwh.com/Documents/MarketCommentary.pdf

best regards,as ever

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