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Effective Open Interest trading systems


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Effective Open Interest trading systems

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  #1 (permalink)
Houston
 
 
Posts: 17 since Feb 2018
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I trade commodity futures on a fin desk at an oil company. I've realized that understanding the nuances of daily O.I. change can really be a solid building block for an effective program, I've built a system using OI and daily price change, it's been giving me very decent results for the last year or so.

Just wondering how many of you use OI as maybe a dominant factor in some of your systems? If you do, why do you find it to be important? Trying to start a discussion...

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Greetings @worldbfree

While I do look at OI I don't currently use it in any systems. I've always been concerned that the data is one day delayed and how to handle rollovers? ie is a change in OI due to rolls or due to increase/decrease in open positions? Also talking specifically about products like CL (as opposed to ES) identifying how much OI is outright positions versus spreads versus other months. Be interested to hear your thoughts?

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SMCJB View Post
Greetings @worldbfree

While I do look at OI I don't currently use it in any systems. I've always been concerned that the data is one day delayed and how to handle rollovers? ie is a change in OI due to rolls or due to increase/decrease in open positions? Also talking specifically about products like CL (as opposed to ES) identifying how much OI is outright positions versus spreads versus other months. Be interested to hear your thoughts?

Hello!

You can dice up the data in a way where you can weed out the impact of rolls. And on the spreads I don't really mind them because if you're long/short on the spread, you're basically long/short flat price without the hefty risk, so the impact becomes proportional to its risk.

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