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Backtest CL on Market Replay Data
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Backtest CL on Market Replay Data

  #1 (permalink)
Trading for Fun
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Backtest CL on Market Replay Data

Hello group,
There's been similiar questions of what i'm about to ask, so i'll ask a little more specifically.

I am looking to run market replay on CL from 2013 to 2016.
I would like to know what contract days to download so that I can backtest 2013 to 2016.
As I understand, CL has contracts every month that expire on the third Thursday of the month.
However, due to volume, rollover is not always on the same day.

However, I would like to know what the BEST possible days to download for each contract that would ensure some
liquidity.

I am looking for a general rule of thumb, but if that doesn't exist, then I would like some input.

If any of you would please make suggestions, I greatly appreciate it!
Also, please post a 3 contract period example so that I get the general rule of thumb if there is one!


Example CL 2-13 best start to trade "_____" and last day to trade should be "_______"
CL 3-13 best start to trade "_____" and last day to trade should be "_______"
CL 4-13 best start to trade "_____" and last day to trade should be "_______"

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  #3 (permalink)
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Omer עומר / Israel י
 
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In general a trader would switch to the new contract, once traded volume surpasses the volume of the old contract.

The replay is bit tricky, because if you have an indicator that needs X bars of history, how will you do that ?

An alternative may be to 'construct' a continuous contract, either manual or automatic;
there are different approaches to 'stitch' the individual contracts together... see the literature on this...

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  #4 (permalink)
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rleplae View Post
In general a trader would switch to the new contract, once traded volume surpasses the volume of the old contract.

The replay is bit tricky, because if you have an indicator that needs X bars of history, how will you do that ?

An alternative may be to 'construct' a continuous contract, either manual or automatic;
there are different approaches to 'stitch' the individual contracts together... see the literature on this...

Thanks for the input.
I am backtesting, worked fine on ES, because rollover was a general rule.
However, indicator is not the issue, just to know what days to download.
I am aware of volume and liquidity, so is there a safe zone in each contract
That ensures liquidity, without looking at volume? Perhaps a generality?

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  #5 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures 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: 2,477 since Sep 2013
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kidvic View Post
Thanks for the input.
I am backtesting, worked fine on ES, because rollover was a general rule.
However, indicator is not the issue, just to know what days to download.
I am aware of volume and liquidity, so is there a safe zone in each contract
That ensures liquidity, without looking at volume? Perhaps a generality?

you can load overlapping periods, and then look at the results and stitch together
the results, rather than the data, that is another way to look at
sometimes you may see the same trade in both contracts,
sometimes not, depend son your system
but that also is a useful insight, it will learn you how sensitive it is to the
rollover

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  #6 (permalink)
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rleplae View Post
you can load overlapping periods, and then look at the results and stitch together
the results, rather than the data, that is another way to look at
sometimes you may see the same trade in both contracts,
sometimes not, depend son your system
but that also is a useful insight, it will learn you how sensitive it is to the
rollover

Hmmm....
How do you "stitch"?

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  #7 (permalink)
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Omer עומר / Israel י
 
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export the trades to a log file or the debug screen
then copy past to excel
and analyse the overlapping days

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  #8 (permalink)
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rleplae View Post
export the trades to a log file or the debug screen
then copy past to excel
and analyse the overlapping days

I would have to do research on how to perform this task, seems complicated.
As far as the ES goes, I was able to download each quarter contract up until 8 days prior to expiration.
This worked fine.
I would rather download a set amount of days for each contract, and trade each contract.
There has to be a way.

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