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E-Mini S&P 500
Ways to Improve A System's Rollovers & Contract Months
These are some ways to improve a trading system. These ideas could
also be implemented by other systems:
Why not improve the data in particular with regard to rollovers.
I have three suggestions:
1. Provide for automatic "close-to-close" rollover
adjustments
2. Include all "active contracts for each commodity
3. Revise rollover dates to better coincide with current dates
for switchover to "lead contract" in the pits.
I've been using this system for almost two years and have developed
ways of "fooling the system" to overcome the first two
deficiencies noted above.
I believe these changes are essential; and I believe most "serous"
system users, e.g., those trading "real money" will not
object to changes which better reflect what is happening in the
real world even if it means an extra rollover or two per year for
certain commodities.
After all, my system's automatic rollovers are so quick and easy
that a few more rollovers and rollover dates would be little if
any bother. Certainly this would be a lot less bother than the extra
procedures I now go through in order to assure that the data I use
doe not have artificial gaps.
These gaps introduced by the "close-to-open" rollover
adjustments (instead of close-close) can be quite large and also
there's usually artificially reduced levels of volatility associated
with rolling to a more deferred contract rather than the next month.
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