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Conrad,
Just two points where I don't agree:
1. If you have a signal on a given date you place your trade (generally)on the front
month. Then expiration comes and your system hasn't changed trade direction. To me you
should simply roll over your position to the next month, disregarding the fact that
there is an actual signal there: chances are signal has already taken place somewhere
near the date it happened in the earlyer month. So does the cc.
2. CCs are adjusted so that the percentage difference between each close doesn't change
due to roll over. So no question should arise as of volatility or momentum shifting
depending on different expirations. Furthermore, if you take into account daily range as
a parameter, then you're likely to consider principally what is happening in the front
month: your're getting exactly the same with CCs.
Alberto Torchio
Torino, Italy
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