kiwibird
Junior Member
Posts: 10
Registered: 25-7-2017
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CONTINUOUS CONTRACTS
I do not have TS but it appears GSB is using continuous contracts when using futures contracts. There is no trading of continuous contracts at
exchanges.
I am confused about how trading is done around the roll over period and how GSB (or for that matter TS) accounts for that in its performance reports.
If the system can be automated then TS picks the appropriate contract to trade and automatically rolls over a contract for an active trade?
I do not have TS so this is a bit of a mystery. In GSB's performance report I do not see real world trades as a contract month is not specified. How
is this accounted for if the system is automated?
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admin
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TS has continuous back adjusted contracts. For live trading we would use @ESU17.D.
At rollover time next contract is @ESZ17.d. So on rollover day we just change the symbol. This happens 4 times per year.
There is a offset applied to the old contract data in TS, but the profits should be identical to the real fills if you ignore the offset. (less
slippage etc)
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kelsotrader
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Registered: 16-2-2018
Location: Tapanui - New Zealand
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When tying to adapt a back tested strategy to Live trading / Simulated Account I noticed (Crude Oil) symbol @CL was rejected by TS exchange as not
recognised.
From the above comments I gather that one has to choose a contract date in the current year on which to trade and receive data. ie@CLJ18.
How does this effect the lookback.
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admin
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For live trading you can use say a year of data, and if you trade at TS you need to use @clJ18 etc.
a back test over the full period should give the same results on @clj18, ad @cl.
Its critical to have the "@" in front else your only going to get a few months of data.
Did you read the post below? Im not trading CL until this passes market verification tests.
http://www.trademaid.info/forum/viewthread.php?tid=117#pid16...
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