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Hello yc dot,
I trade my systems in real life, so I feel qualified to answer you.
(Knowing your name would allow me to even personalize this reply :-).
Firstly, data. I use ratio-adjusted EoD from Pinnacle
(www.pinnacledata.com) that has fixed rollover dates. Your data vendor
should supply this information anyway, or if you use CSI you can set
the roll dates yourself.
Secondly, software. I use TradeStation 4 with the usual indicators
plus some of Mark Jurik's (www.jurikres.com), all working over varying
lookback periods. Standard stuff.
On the day after rollover I have to run a file build routine using the
Pinnacle-supplied software (takes a few minutes). I then start TS4,
note the new stops, then open PFG Best (substitute your brokers
software here), roll as required and cancel/place my new stops.
By roll, use this example: assuming a short position such as my
current Corn trade that just rolled from March to May contracts: buy
back my March contracts at market and cancel those stops; sell some
May contracts at market and enter new stops to suit.
Result - all my indicators still function over as long a lookback as I
want, my stops are recalculated to suit the 'new' contract and life
is fine.
BTW when I backtest I usually put in $150 for brokerage and
commissions to cover the actual cost of rollover, but most of my
systems are fairly long-term anyway.
Hope this helps - if I can assist you further just ask.
--
Best regards,
Ross mail to: ross.bond@xxxxxxxxxxxxx
Wednesday, March 06, 2002, 4:42:43 PM, you wrote:
> Greetings,
> This is a question to those that ACTUALLY TRADE MECHANICAL SYSTEMS IN REAL
> LIFE!
> I have studied technical analysis, got software, got historical
> back-adjusted futures data, tested systems, thought about money management,
> etc. etc...
> Now, how do I actually trade a mechanical trading system over real
> limited-life futures contracts ???
> If I have various indicators that require certain number of daily bars to
> analyze, what do I do when a contract approaches expiration ?
> Which contract data do I use to get a signal - the old or the new one ?
> What happens at the cutover to the new contract ?
> I have not found anything in literature that clearly explains this.
> Any explanation or link to an explanation would be greatlely appreciated.
> Thanks,
> yc
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