Over-optimization and Roll Over Dates | Traders Hideout

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Over-optimization and Roll Over Dates

  #6 (permalink)

Houston, TX
Trading Experience: Intermediate
Platform: NinjaTrader 7
Favorite Futures: NQ
Posts: 91 since Apr 2016
Thanks: 123 given, 88 received

Yeah, I would definitely NOT optimize your rollover date. You could end up picking a rollover date too early (excessive slippage due to low liquidity) or too late (broker liquidates your position to avoid taking delivery). Plus, I would consider it overfitting your strategy big time.

IMO, every trader needs to verify that their trading software is using realistic rollover dates to create continuous charts.

Example of software with bad rollover dates: NinjaTrader 7. The rollover date for Gold Dec 17 was set as July 31. Guess what? My broker called me up on July 27 and said that my long Gold Aug 17 contract would be liquidated at close on July 28 if I kept the position open. Clearly, the rollover date should've been set to July 27 or 28.

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