Rolling Amsterdam Index EOE (AEX in CSI)

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Roundtable Knight
Roundtable Knight
Posts: 135
Joined: Tue Apr 12, 2011 11:46 am

Rolling Amsterdam Index EOE (AEX in CSI)

Post by leslie »

Hello Everyone,

Is anyone trading the Amsterdam Index and happy with the roll set up used for back test and live trading?

My initial attempt: Roll on OI, First Trigger at 90%.
Results: grim
Second attempt: Roll 3 days before Expiration.
Results: smooth steady Volume and OI
( My contracts are set to Contract, not Total Volume and Contract Open Int. )

3 days before expiration is risky, you have to be on your toes for the roll.
Market Makers are likely to take the skin off your back because they know you are at risk.
( Holidays can mess up, natural catastrophes, etc. )

Has anyone a better roll set up?

Thank you, Leslie
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