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Rollover at Crude Oil
Started:November 26th, 2016 (05:09 PM) by spotapov Views / Replies:131 / 3
Last Reply:November 27th, 2016 (04:11 AM) Attachments:0

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Rollover at Crude Oil

Old November 26th, 2016, 05:09 PM   #1 (permalink)
Trading Apprentice
Moscow Russia
 
Futures Experience: Intermediate
Platform: CTS T4
Favorite Futures: CL, QM
 
Posts: 2 since Sep 2016
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Rollover at Crude Oil

Hi guys, what do you think about trading CL during rollover week? Do you trade it or you don't?
For myself, i have made CL backtesting last 2 years, and i see that my trading strategy loosing money if i trade during rollover week

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Old November 26th, 2016, 05:09 PM   #2 (permalink)
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Old November 26th, 2016, 06:00 PM   #3 (permalink)
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Futures Experience: Intermediate
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spotapov View Post
Hi guys, what do you think about trading CL during rollover week? Do you trade it or you don't?
For myself, i have made CL backtesting last 2 years, and i see that my trading strategy loosing money if i trade during rollover week

Hi

So thats 24 rollovers.....thats not a very big sample size for testing. Do you use continuous futures charts? How many trades per day on average?

How long have you live tested your strategy?

Does volatility increase in rollover period? Does this impact your strategy?

Not sure if theres anything significantly unique about rollover week.....maybe in the 2 days around the date but not the week.

Rgds.





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Old November 27th, 2016, 04:11 AM   #4 (permalink)
Trading Apprentice
Moscow Russia
 
Futures Experience: Intermediate
Platform: CTS T4
Favorite Futures: CL, QM
 
Posts: 2 since Sep 2016
Thanks: 0 given, 0 received

Nope, i use only current month charts, also i trade only nymex pit session levels. I really noticed that trading during rollover is not good idea for my deposit) Do you trade CL during rollover?

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