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HT:
Rolling on OI and Volume works quite well for most contracts.
It is one of the better alternatives.
Caveats:
The energy market is on a monthly expiration schedule.
Henry Hub NG is a good example.
Volume and OI do not roll off until very late,
right up to actual delivery.
Therefore, your contract
rolls real close to the end.
What does that mean to you as a trader?
Compare the carry premium on the front month
and next contract to the cash contact.
You will see that the cost of carry goes negative!
Wow.
This means that the arbs are charging you a fee for
taking the expiring contract off your hands!
Profit impact?
If your average trade lasts between 5 - 40 days,
you could be leaving money on the table,
AND suffer excessive slippage on fills.
(The arbs' children need shoes...)
Recommendation:
Roll on OI, 1st trigger.
Forget the Volume confirmation.
You will always roll about 1 month ahead of the OI+Volume.
Alternate:
Roll on Volume, 2nd or 3rd consecutive trigger.
This rolls a little later than my preferred method,
but equally good.
Perhaps better, because rolling by OI only, 1st trigger
can get you into the new front month 5-7 days ahead of
the crowd.
If you do BIG SIZE, this can be a potential problem.
Leslie
p.s. I roll by OI, 1st trigger, except bonds and currencies.
HT wrote:
>
> My experience has been fairy good as well as regarding the quality of data
> is
> concerned.
>
> On a separate note, what is the criteria most commonly used for
> backadjusting the data?
> I use rollover on second trigger of OI & volume together, aligned with price
> data close to
> open, representative prices as close of old & close of new data, & a
> non-detrended data
> which is back adjusted.
>
> I'll be interested to hear your preference is & why.
>
> Regards
>
> HT
>
> ----- Original Message -----
> From: "Robin Cotten" <rcotten@xxxxxxxxxxxx>
> To: "Omega List (E-mail)" <omega-list@xxxxxxxxxx>
> Sent: Monday, October 28, 2002 7:53 PM
> Subject: Re: the CSI errors reported on here...
>
> > Actually CSI does a great job of providing accurate commodity data. I
> > have used them forever. Every now and then an exchange will report bad
> > data. When this happens it might take a few days for everyone to find
> > and correct the error. But IMO you can count on their database being
> > very clean and dependable.
> >
> > Since "rolling on open interest" was mentioned, this might surprise many
> > people. CSI came up with the idea of rolling on OI. Unfair Advantage
> > (ver 1.0) was their 1st windows package. I was heavily involved in that
> > beta test and just before its release this idea was inserted into the
> > software.
> >
> >
--
Regards,
Leslie Walko
610-688-2442
--
"Life is a tragedy for those who feel, a comedy for those who
think"
Horace Walpole, 4th earl of Orford, in a letter dated about 1770
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