Support Board

Date/Time: Tue, 14 May 2024 23:42:41 +0000

Post From: Problem with volume-based rollover

[2016-12-01 12:52:18] Link To Thread - Link To Post [Go To First Post]
skelcap - Posts: 139
Ok thanks, clearly it's not urgent. I wrote my own volume-based rollover algorithm for backtesting and was just using your values to check against. It's a minor inconvenience that my results disagree with your charts at times. I'm surprised though because I didn't think a volume-based rollover rule would need to change over time since it's not something set by an exchange. If you compare the contracts CBX15/CBZ15 side by side (attached) then it's pretty clear that the volume shifts between them around 10/12/15 and I would thing the algorithm should detect that. Having the roll dates out of sequence and skipping a contract on the chart just looks odd.


CBX15 - CBZ15.png / V - Attached On 2016-12-01 12:48:23 UTC - Size: 97.7 KB - 280 views Attachment Deleted.