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Changing rollover dates for CL
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Changing rollover dates for CL

  #11 (permalink)
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CL rollover dates and offsets

These are the rollover dates and offsets I have used in 2009 and 2010. It is not a strict volume rollover, but in some cases I rolled one day earlier.

I have done several simulations of different rollover dates, in the end the combined offset for all rollovers was very similar, independant from the exact data chosen. The result is known as the cushing contango. Note that all individual offsets are also positive, reflecting the carrying charges for crude oil.

Attached Thumbnails
Changing rollover dates for CL-rollover-dates-offsets-cl-12-2010.pdf  

Last edited by Fat Tails; October 24th, 2010 at 06:31 PM.
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Fat Tails, did you create a custom contract with MultiCharts? You can set rollover dates, but you can also define an 'event' such as "volume greater" for "1 period", etc. In other words, it will flip to the next contract when volume does, which is generally what I find to be best.

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Fat Tails, did you create a custom contract with MultiCharts? You can set rollover dates, but you can also define an 'event' such as "volume greater" for "1 period", etc. In other words, it will flip to the next contract when volume does, which is generally what I find to be best.

Mike


Yes, I have tested it. MultiCharts will then roll after the day, when the volume crossover happened. I actually prefer to roll earlier, that is prior to volume rollover. Doing this when the new front month nearly reaches the liquidity of the od front month.

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Fat Tails View Post
Yes, I have tested it. MultiCharts will then roll after the day, when the volume crossover happened. I actually prefer to roll earlier, that is prior to volume rollover. Doing this when the new front month nearly reaches the liquidity of the od front month.

So ideal would be for you if they added a "xx" percentage of current month vs front month, you would roll at say 90%. You could always ask, I think it could be useful as well.

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So ideal would be for you if they added a "xx" percentage of current month vs front month, you would roll at say 90%. You could always ask, I think it could be useful as well.

Mike

I am not trading hundreds of different futures contracts. As long as I put in a date that suits me, I am happy. This is a little work once per month, and it reminds you that CL is always in contango.

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Fat what does the cushing contango value 15.05 mean in your PDF file ? Is it an average ?

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trendisyourfriend View Post
Fat what does the cushing contango value 15.05 mean in your PDF file ? Is it an average ?

Thanks, there was an error in the formula! That is one of the universal excel problems. Adding lines and not modifying the formula.

The correct value is 34.60. Thanks for the hint, I have changed it. It is just the sum of the offsets over 24 months. As all these offsets have been positive, the method to mergebackadjust contracts has a major disadvantage if used with contracts that are monthly rolled and have a structural contango. Each contract is backadjusted relative to the following contract, so the total offset for the first contract in the list is indeed 34.60

If you backadjust for 5 years, you will likely move into negative territory and crash NinjaTrader as this is not expected.

The permanent contango can be explained by carrying cost, swap dealers holding positions for long only funds and the limited storage space of the depot in Cushing.

FT Alphaville Oil contango intensifies as Cushing stocks soar
FT Alphaville It’s all about Cushing

The Cushing effect can be quantified, if you compare the value of 34.60 with the total offset resulting from rolling the front month contracts of Brent Crude traded at IPE over the same period. IPE's offsets should come out lower. Will try to put that figure up.

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I created this indicator to show me the contracts with the highest volume, so I can switch contracts based on volume around rollover time.

https://futures.io/free_downloads/ninjatrader-7/indicators/779-download.html?view

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monpere View Post
I created this indicator to show me the contracts with the highest volume, so I can switch contracts based on volume around rollover time.

https://futures.io/free_downloads/ninjatrader-7/indicators/779-download.html?view

But then you will only be alerted once the volume has shifted to the new contract.

I actually prefer rolling at the close prior to rollover day, so I am ready to roll, if the new front month reaches something like 70% or 80% of the volume of the old contract.

Anyhow, for financial and metal futures the rolldates are pretty obvious, so it is only necessary to check for rolldates for energy futures and agriculturals.

Your indicator would be even more useful, if it displayed the front month volume and the volume of the next contract month as well. This would allow to switch just in time.

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Why not use two instances of the T&S window with the contracts you want to evaluate ?

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