I've just upgraded to the new version of Sierra after being on version 997 for quite some time. In version 997 you either had continuous contracts enabled or you didn't. There wasn't much available in terms of options:
My first thought would be to use 'Volume Based Rollover, Back Adjusted', however since I trade index futures which have a specific rollover date perhaps 'Date Rule Rollover, Back Adjusted' would be better.
fyi, I do incorporate volume profiling into my analysis which means the option chosen can affect composite and micro-composite profiles.
My head hurts whenever it comes to this stuff
Thanks
Diversification is the only free lunch
The following user says Thank You to DarkPoolTrading for this post:
Site Administrator Swing Trader Data Scientist & DevOps
Manta, Ecuador
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
Posts: 49,784 since Jun 2009
Thanks: 32,313 given,
97,573
received
Both should be fine. If you prefer to trade only the most active contract, use the volume option. If you want to switch when everyone is "supposed" to switch, use the date option. Usually those two are the same, and at most would be off by 1 day the majority of the time, most likely.
Yesterday I just did on ES and used Date rule rollover, back adjusted. And try to load 2 years back.
It took a while but data are great. In Message Log you can even see how it adjusted data on every rollover date and by how much points based on Close difference. And data are loading quickly when you open a chart, even for 2 years.
