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I also use CSI UA continuous contracts in my
real-money trading. I have found that telling
CSI to roll over on a fixed calendar date prevents
these kinds of problems. For example, I
tell CSI UA to roll over TY contracts as follows
Roll from March to June on May 22nd
Roll from June to Sept on Aug 22nd
Roll from Sept to Dec on Nov 22nd
Roll from Dec to March on Feb 22nd
You could try this out in backtesting to see if
it impacts your system results. If the test results
look acceptable to you, then you can switch over
to doing rollovers this way in your actual trading.
Maxime <the.crocs@xxxxxxxxxx> wrote:
>Hello all,
>
>I use TS with CSI Unfair Advantage for end of day futures.
>
>I have a problem with generating back adjusted contracts (rolling on switch
>open interest, close to close, when known). Backtesting is OK because CSI
>creates ASCII files that do not change traded months again once it has been
>done. But for RT trading, the front month (on ED or FSS) switches for
>exemple from H to Z then back to M and then to Z again before going back to
>M.
>
>It is really annoying as:
>
>1) I have to roll everyday (or so) the position
>
>2) Some positions that I have disappear the next day (or the inverse, a
>position appears...)
>
>3) I cannot trust my systems on these 2 markets: ED, FSS
>
>
>I have no problem at all on all other futures that I trade (about 50
>futures).
>
>Have contacted CSI, the answer was "DL from the site the database for these
>commodities". Been there, done that, useless.
>
>I know lots of you active traders use CSI and TS. How do you manage this
>kind of BA problems with CSI ?
>
>Thanks in advance.
>
>Good trading.
>
>
>Maxime
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