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Trey wrote:
>Do I need to take something else in consideration, other than
>just the back testing results, in deciding which data to use? To me, it
>seems rather logical to roll based upon liquidity.
To me, it makes more sense to roll based on what gives you the most
conservative result, and not what feeds one's inborn desire to be
profitable.
Sometimes you can't roll based on liquidity in real life, if the
most liquid contract has already passed First Notice Day. You need
to be out of it by then anyway. May as well roll over earlier then.
Also If you're a position trader who expects to hold a position for
a few weeks at a time, then you'd automatically place new orders
in an out month even if the current month is more liquid, if the
current month has only a week or two until FND. Because you'd be
trading out months in real life, it makes sense to roll over earlier
in simulations.
In real life you'd probably rolll over early for NEW positions but
roll over EXISTING positions at late as possible. Unfortunately
this isn't something one can simulate in Tradestation.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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