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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
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