More Rolling Algorthym Problems - HELP !!!

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Roundtable Knight
Roundtable Knight
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Joined: Tue Dec 16, 2003 2:12 pm
Location: London

More Rolling Algorthym Problems - HELP !!!

Post by Chris67 »

Dear All.

Ok I discovered yet another glitch with roll dates and backtesting 53attd files :
An example is Unleaded Gasoline .. I have set the roll date in techtools for 21 days before FND ( 2nd July )...I was therefore al geared up to roll on the 11th june , the day I wanted to roll.. However on my order sheet for the day the contract rolled yesterday ? ( 4th June).. Now the reason for this is clearly that 21 days should not include saturdays and sundays which in techtolls it doesnt .. so I should have set the roll 15 days before 2 july to get the 11 th june ..

Thats fine for this year .. but if I set the rolling algorythm to 15 days before FND and test historically .. obvioulsly weekends fall at different places historically and theres no way you can back adjust to insure you roll on the 11th june ??

Would a solution to all this be simply to say set to roll alaways 10 days before FND/EXPIRY .. for all contracts .. and just backtest that .. it may not ne the optimum but at least you got something you can backtest ??

Any help would be appreciated ..


Roundtable Fellow
Roundtable Fellow
Posts: 53
Joined: Thu May 29, 2003 12:28 am
Location: Chile

Post by batuco9 »

Good points.
Chris67: you might also try contacting Troy for his viewpoints on the software he provides.

Since going forward, I understand that Veritrader will be able to handle its own contract rollovers, I wonder how that will be ....
(bottom of Dan's reply in viewtopic.php?t=360&highlight=rollover - where is it indicated how to reference specific posts?)

Sir G
Posts: 243
Joined: Wed Apr 16, 2003 12:21 am
Location: Salt Lake City, Utah

Post by Sir G »

Hi batuco9-
(bottom of Dan's reply in viewtopic.php?t=360&highlight=rollover - where is it indicated how to reference specific posts?)
If you click this link... viewtopic.php?p=2302#2302 it will direct you to Dan's post, which is the 2nd one in the forum that you spoke of...

The trick is in the image below... find the post you want to link to... and click that little document icon which I'm highlighting with the arrow.... and when you do it watch the url change in your browser. That will link will reference the selected post.

Cheers. Gordon
phpBB Doc icon.png
phpBB Doc icon.png (11.79 KiB) Viewed 3860 times

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