More Rolling Algorthym Problems - HELP !!!
Posted: Sat Jun 05, 2004 4:47 am
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 ..
Chris
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 ..
Chris