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The number one thing you that you need to decide is:
1. do you want to roll when the open interest of the next contract out
exceeds the spot contract.
or....
2. do you want to roll on a certain day of the month. For example, in
soybeans, you might use the 22nd of the month prior. This would roll
from SK to SN on 04/22. If 04/22 is a Sat then you would roll on Monday
04/24. Same if 04/22 is a Sunday, roll on Mon, 04/23.
After that, CSI can help you or I can help you. I roll basis certain
days of the month. I do this because by "rolling on OI" you skip some
contracts. For example, if I used "roll on OI" then in cotton I would go
from NYN to NYZ around the 1st of June and skip Oct. Plus the most
exciting action in July usually occurs after June 1st. Since my hedge
customers watch and trade every option on the board this wouldn't work
for me.
I sure wouldn't recommend the option of rolling from close to open. This
is stupid. If you did this then in the above example you would get out
of SK on 04/22 and then enter SN the next day on the open. All you would
have to do is miss a 30 cent opening one or two times. This would give
you misleading results in your back testing.
I suggest you roll from the old contract to the new contract on the same
day and do it on the close.
One you make that decision between #1 and #2 then it's almost like a
flow chart which someone could step you right through.
If you need help, email me. I only read emails here at the office on
Mon-Fri so it might be Mon before I get back to you.
Robin
-----Original Message-----
From: tszz@xxxxxxxxx [mailto:tszz@xxxxxxxxx]
Sent: Thursday, March 07, 2002 11:02 AM
To: Omega-list@xxxxxxxxxx
Subject: Unfair Advantage Back-Adjusted Contracts
Hi,
If you are an experienced/expert user of U.A., I'd be grateful if you
could give me
your advice on "user options" for Back-Adjusted Contracts (I'm a new
user of UA).
Which option would you recommend/choose for :
- "Roll Trigger"
- "Roll Timing"
- "Representative Prices"
- "Accumulation Method"
- "Confirmation Signals"
I guess the choice may change according to the commodities. In this
case, could
you give examples ?
Thank you,
Denis
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