|
PureBytes Links
Trading Reference Links
|
As mentioned recently on the list, I created some lines of code which allow me
to test my systems on a contract-by contract basis.
This routine calculates for each contract the time when it should trade (let's
say until three days before expiration). The rollover date
is calculated automatically (I implemented the expiration rule 3rd friday of
March, June, Sep, Dec as it works for most index futures).
If the system has a position at the end of the rollover date it stores this
position and reopens it in the next contract. As most contracts are
traded only at the last 3 month of their entire trading life ( mostly 9 month)
there's plenty of data to calculate stops and other stuff on the new
contract. With this routine I can calculate an 8 year history of 30 min data
within 5 to 10 minutes and send all the statistics to a csv file.
Then the system results are being compressed into one system report and can be
examined furtheron via excel.
The only bad thing (at least for you) is that it doesn't work with TS but
another tool discussed here recently. I wonder if something like that would be
possible with the radar screen ? And as far as I am informed RinaSystems offers
a product that allows contract roll-overs, but I am not sure about it - and my
solution which works fine for me is far less expensive.
If you want to know more about it please contact my privately, since I don't
want to be accused of spamming the "omega" list with other charting tools and
solutions.
Best Regards,
Michael
|