|
PureBytes Links
Trading Reference Links
|
Hi Mark,
Thanks for reply. What I have done is change my UA options and roll on 13th
of expiry month for ED and on last day of expiration for FSS. Fixed date
looks good for this kind of contracts in backtesting....
Good trading.
Maxime
> OOPS, I had a typo that Nurudin Kaba kindly pointed
> out. The fixed version is below.
> &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&
>
> 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 Feb 22nd
> Roll from June to Sept on May 22nd
> Roll from Sept to Dec on Aug 22nd
> Roll from Dec to March on Nov 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.
>
|