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Here is the Spread Utility. (ELS enclosed.)
I check the data when setting up a new machine, switching data
vendors, after installing a new version of the downloading /
contract building software, when changing rolling methods, etc.
Differences in data can be huge depending on rolling method.
For a while, I rolled on Open Interest, 1st trigger, but CSI had
problems with Open Interest. I switched to rolling by fixed
date, but that threw off my system and generated losses. Since
CSI fixed their bugs, I retested everything and back to rolling
on Open Interest.
If you roll on fixed calendar dates, you might want to use the
dates the Pinnacle has posted on their web site. Their choices
correspond very very closely to when Open Interest rolls would
take place. Good choice.
You can also roll on Volume, but need to use at least three
consecutive triggers because volume is less stable than OI.
Last but not least, here is beginning and end of a comparison
between two Five Year Note contracts, both rolled on the same
machine, both rolled using CSI Unfair Advantage 2.5.4 but one
rolled using fixed date, the other rolled using OI. Note the
difference.
Keep in mind, both roll methods are valid. You just need to pick
one and stay with it.
Beginning of SAMPLE:
File 1 FV20@xxxxxxx File 2 FV21340B.TXT
Date Data 1 Data 2 Point Diff $ Diff
900102 70.7969 71.1406 -0.34375 -343.75
900103 70.6094 70.9531 -0.34375 -343.75
900104 70.6406 70.9844 -0.34375 -343.75
900105 70.625 70.9688 -0.34375 -343.75
900108 70.5781 70.9219 -0.34375 -343.75
End of SAMPLE output:
1021224 112.547 112.547 0 0 ___OK___
1021226 112.656 112.656 0 0 ___OK___
1021227 113.203 113.203 0 0 ___OK___
1021230 113.406 113.406 0 0 ___OK___
1021231 113.25 113.25 0 0 ___OK___
Start Date 900101 End Date 1030101
The spread changed 64 times during the study.
Maximum bar to bar change in spead occurred on 990226 valued at
109.375 dollars. Data 1 was not equal to Data 2 for 2929 of 3268
bars -- namely 89.6 % of bars.
Cheers, Leslie
Trey Johnson wrote:
>
> Thanks Leslie. If you don't mind, please post the utility. I also noticed a
> difference when I tried different roll methods with the same vendor.
> However, they weren't as drastic as the difference between the two vendors.
> Which method of rolling do you use, calendar based or liquidity based? How
> did you decide? Thanks for the warning about different computers, I'm
> getting a new one in a couple of months.
> Best Regards,
> Trey
>
> -----Original Message-----
> From: Leslie Walko [mailto:l.walko@xxxxxxxxxxx]
> Sent: Friday, January 24, 2003 12:22 PM
> To: Trey Johnson
> Cc: omega-list@xxxxxxxxxx; realtraders@xxxxxxxxxxxxxxx
> Subject: Re: Roll over methods
>
> Trey:
>
> Welcome to the mystery of rolling.
> Even if you use the SAME vendor and use the same raw contracts to
> base your rolls on, different roll methods supported by the same
> vendor will produce huge differences in results. Then, to make
> it worse, the SAME vendor, SAME roll method, and SAME software
> can also produce major differences if the data is run on two
> separate computers.
>
> Confused?
> When I tested the same vendor, same rolling method, same
> settings, but different computers produced over 3,000 dollars
> worth of spread in the Heating Oil contact between 1990 to
> present. Now imagine what happens to your trading results when
> the underlying data is so different!
>
> I wrote a utility to measure and log the differences. In fact, I
> need to do some checking and revise the utility. If desired, I
> can post the updated utility tomorrow.
>
> Your immediate problem:
> If you change vendors, or rolling methods, or computers:
> (1) test your data for differences using a utility;
> (2) re-test your trading system ;
> (3) you may need to reoptimize the trading system;
> (4) you may need to redesign and revise the logic of your trading
> system.
>
> Why the retesing and re-design?
> Different vendors use different definitions of Open, Close, High,
> Low. Each vendor sets their own method of rounding (or not
> rounding) to nearest tick, or offers ability to be set by the
> user. A vendor may carry quotes at one half tick, one quarter
> tick, or may not be able to carry one quarter ticks, etc. (For
> example, CSI is unable to quote 2-year Notes in the exchange
> specified format of 1/32nd and 1/4 of 1/32nd -- equal to 1/128th
> .)
>
> Net result: No system will ever perform the same with 2 different
> vendor's data or rolling method. Each combination is a unique
> system.
>
> Leslie
>
> Trey Johnson wrote:
> >
> > Hello All,
> > This has been driving me crazy and I just can't seem to figure it
> out. I
> > recently changed data vendors. The new data rolls on specific calendar
> days
> > for each commodity when building continuous back adjusted contracts on
> daily
> > data. The previous data rolled based upon liquidity, when volume and open
> > interest of the next month exceeds the current. I tested four different
> > systems on the Yen and Dollar Index. In each case, the average trade and
> > profit factor of each system was superior on the liquidity roll contracts.
> > Then I tried three different systems on Natural Gas, again, better
> > performance on the liquidity rolls. Even current open positions were more
> > profitable for the liquidity based rolls than the calendar based. When I
> > asked the new provider why they chose specific days, the response was, we
> > made that decision ten years ago and I don't remember why. Well, that's
> > certainly not the answer I expected. Has anyone else noticed this? Does
> > anyone have any possible explanations as to the discrepancies in
> > performance? 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.
> >
> > Confused,
> > Trey
>
> --
> 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
--
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
Attachment:
SPREADUTILITY.ELS
Attachment:
Description: "Description: application/unknown-content-type-easylanguagestoragefile"
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