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Direct MessagesDate/Time: Fri, 26 Apr 2024 16:41:30 +0000
How long is the period for volume based back adjusted continuous contracts?
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| [2018-04-04 16:25:42] |
| Programming_autotrading_phonesup - Posts: 59 |
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How long is the transition period for volume based back adjusted continuous contracts? Is it by default just 1 day, the day the volume of the new contract is higher than the old contract? Or is it smoothed out, back adjusted over several days, or a longer period? ... to have the transition more smooth? I read this help page, but was not sure by default the period is just 1 day for volume based back adjusted option: Continuous Futures Contract Charts Further I'd like to note that it looks like that when backtesting with continuous contracts the losing trades are losing less, and the winning trades are winning less than expected if the trade is closed out on roll-over days. I assume it has to do with smoothed (trade exit) pricing. Is this possibly correct? Date Time Of Last Edit: 2018-04-04 16:26:19
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| [2018-04-04 17:53:26] |
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The transition is just from one bar to the next. It occurs on one particular chart bar. So it depends upon the timeframe of the chart bars. Further I'd like to note that it looks like that when backtesting with continuous contracts the losing trades are losing less, and the winning trades are winning less than expected if the trade is closed out on roll-over days. I assume it has to do with smoothed (trade exit) pricing. Is this possibly correct? http://www.sierrachart.com/index.php?page=doc/ContinuousFuturesContractCharts.html#RolloverOptions Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2018-04-04 20:29:47] |
| Programming_autotrading_phonesup - Posts: 59 |
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Is it possible to smooth it out over a 5 day period?
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| [2018-04-04 21:25:48] |
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No.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2018-11-12 20:17:43] |
| Programming_autotrading_phonesup - Posts: 59 |
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Is it possible you include an example calculation table in your help file where you Displaying Rollover Transition Times and Contract Months in a table with the previous contract Open price (CL-201712-NYMEX 11-15-2017 23:55 Open = xx.xx) and Next contract Open price (CL-201801-NYMEX 23:55 Open = xx.xx) , including the calculated back-adjusted roll-over price (CL-201712-NYMEX 23:55 Open = xx.xx [CB],) for a few rows of intraday data ? I looked at the CL-201712-NYMEX back-adjusted 15M intraday chart, next to the same CL-201712-NYMEX 15M none intraday chart and it seem that all the CL-201712-NYMEX back-adjusted pricing was back-adjusted, from each day, instead of just one particular bar at the roll-over day, session start time. Even the pricing 10 days earlier have been back-adjusted. Which I think is a good thing, but I'd like to better understand how this 'smoothening process' is done by being able to view an example table with formula. CL-201812-NYMEX [CBV] 15 Min #1 | CL-201711-NYMEX Open price on 2017-10-17 is 51.93. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201712-NYMEX Open price on 2017-10-17 is 52.2. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201711-NYMEX price difference to CL-201712-NYMEX is 0.27. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201712-NYMEX Open price on 2017-11-16 is 55.3. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201801-NYMEX Open price on 2017-11-16 is 55.51. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201712-NYMEX price difference to CL-201801-NYMEX is 0.21. | 2018-11-12 14:12:01 I think it would be helpful if there is an example calculation of a time-period (not just a single 5-minute bar) to clarify what happens at the roll-over period. I understand that when there is a rollover from one futures contract to the next, on the day of the rollover, the difference between the newer futures contract open price on that day and the prior futures contract open price on that same day is calculated. This is the back adjustment amount between those two contracts. What I saw is that this is applied on all the days of the back-adjusted period, not just the Roll-over day. But from your answer above, I understand this is only done on roll-over day itself. I am confused there. Especially when intraday data is involved. A table would help me visualize what happens and I hope you can add that to your documentation for further clarification. ( Continuous Futures Contract Charts: Understanding Back Adjusted Price Data and Comparisons ) |
| [2018-11-13 11:00:01] |
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I looked at the CL-201712-NYMEX back-adjusted 15M intraday chart, next to the same CL-201712-NYMEX 15M none intraday chart and it seem that all the CL-201712-NYMEX back-adjusted pricing was back-adjusted, from each day, instead of just one particular bar at the roll-over day, session start time. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2018-11-13 11:00:34
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| [2018-11-13 13:38:40] |
| Programming_autotrading_phonesup - Posts: 59 |
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I agree. What happened was that the 'no' answer above given in april this year was misunderstood by me. Often overseen in backtesting, the roll-over can greatly affect the performance results of any trading system. On the help page I read the following explanation: At the very first rollover in the chart, the back adjustment amount is calculated for that rollover and all of the subsequent rollovers.
At each rollover, the back adjustment amount for that particular rollover and all of the rollovers forward from that rollover, are added together. This total amount is the amount by which the prior contract is adjusted by. This process continues itself going forward through the contract months. Can you include a sample calculation using tables in the related documentation so it becomes less of a 'black box' and is easier for me to fully understand what happens under the hood? Thanks again for your kind clarification. Date Time Of Last Edit: 2018-11-13 13:47:31
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| [2018-11-14 05:49:10] |
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Okay, we will see if we can put this together but not sure how soon.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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