Which Crude month(s) to trade.

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flex
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Which Crude month(s) to trade.

Post by flex »

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
stancramer
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Post by stancramer »

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 :roll:
Kiwi
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Post by Kiwi »

Try the financials rollover months as well. March, June, Sept, December.
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