Seeing as I've spent my trading life in the interest rate & currency futures area I'm looking for some advice in regards to the Oil complex.
I see that every month is traded but I don't fancy rolling my position every month.
I'm a long term trend follower so I'm wondering if I trade H,M,U & Z as I do for the financials.
Adding to my uncertainty, the CSI Unfair Advantage data works best (i.e. is more profitable) when I make it include every month rather than every quarter. Do I therefore make my say Sept contract trading basis the July contract signals?
I have many more questions regarding the use of CSI data (which back adj type, detrend or not etc.) but I'll save them for another post.
Regards
Which Crude month(s) to trade.
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- Roundtable Fellow
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A very reasonable compromise is roll over six times per year. After an email acquaintance suggested this, I tried it out and found it satisfactory. I trade the even numbered months (G J M Q V Z) mostly because I definitely want to be in the December contract (Z), which is extremely liquid.
It's a pretty quick experiment: have CSI UA spit out a continuous contract with all 12 months, and then another one with the six even numbered months, and then a third one with only H M U Z. Run your system code on all three. Then gaze into your navel, think about slippage and commissions, and make a choice
It's a pretty quick experiment: have CSI UA spit out a continuous contract with all 12 months, and then another one with the six even numbered months, and then a third one with only H M U Z. Run your system code on all three. Then gaze into your navel, think about slippage and commissions, and make a choice