Over-optimization and Roll Over Dates | Traders Hideout


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Over-optimization and Roll Over Dates

  #5 (permalink)

Richmond, VA
 
Trading Experience: Intermediate
Platform: TradeStation, thinkorswim
Favorite Futures: Crude CL, Gold GC, Copper HG
 
Posts: 5 since Jun 2017
Thanks: 34 given, 2 received

Lesson: Don't Use Custom Futures ... BUT ... ?

Kevinkdog (buy his book!) sent me a couple of PM and I realized that I didn't have to use Custom Futures on Tradestation. As some of the previous messages here mentioned, I could just use the continuous front month contract until Tradestation rolls over to the next month, and then adjust. A perfect newbie question.

That brings up why I started using the Custom Futures option to begin with. I am testing some automated strategies with Tradestation, but I am currently a thinkorswim user. I fined TOS makes it simpler to find the actively traded futures contract.

For example, today is 8/9/17:

Today's September 2017 (TOS-/ZCU7; TS - CU17) contracts has an open interest of some 400,000
Today's December 2017 (TOS-/ZCZ7; TS - CZ17) contracts has an open interest of some 615,000. Volume is a bit higher.

TOS has buyers skip September, seemingly every year. It jumps straight from July to December. While December is more liquid, they both seem fairly liquid. TS won't ever let me view Corn continuous contracts for December, so I can't automate it

With Gold TOS has December 2017 as the active contract. TS says that @GCU17 and @GCV17 are not correct signals. I am guessing that is because they are not part of the continuous series, but the Z/December contracts are part of the continuous series.

Maybe I need not be confused, and maybe my confused comes from the baby steps I took with TOS and not wanting to let go of the rails. Still, I don't understand why TS says Corn's current contract is December when TOS says it is October, but when it comes to Gold, they both agree. I am guessing I need to just let it go and use what TS allows (Gold - G, J, M, Q, Z Contracts ; Corn - H, K, N, U, Z Contracts).

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