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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
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