Over-optimization and Roll Over Dates | Traders Hideout

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Over-optimization and Roll Over Dates

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Market Wizard
Gits (Hooglede) Belgium
Trading Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
rleplae's Avatar
Posts: 2,955 since Sep 2013
Thanks: 2,405 given, 5,488 received

I think in general you want to be trading in the front month (= contract with highest volume)
I you are swing trading, at a certain point in time, you will need to do something, even if the position is still 'on'

You can :
- close the position when the contract is not longer the front month
- you can trigger a strategy on top of the position which is the best roll (spread..
- you can implement 'black-out' around the roll period if you are in swing

None of this is a silver bullet...

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