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I have a strategy for CC (Cocoa) that works well on backtesting on the Tradestation continuous symbol (@CC). Now I want to run it live and I don't prefer to do manual rollovers but would rather be "reminded" by TS to do a rollover and thus prefer to use a rollover trigger.
However I can't seem to find a rollover trigger that works well for this contract. Does anybody know when the @CC contract does the rollover so I can try to closely match that with a rollover trigger?
Regards
Can you help answer these questions from other members on NexusFi?
I appreciate your concern but the strategy I have makes plenty of average net profit per trade to cover high slippage and the monthly live data fee. Also it's nice to trade different contracts as a way to diversify.
However your advice didn't answer my question. I know that TS is not clear about when they switch different future contracts (@CC) but I thought maybe someone had some inputs. I would prefer not to do manual rollovers as I have like 20 different strategies to keep track of and I don't like to manually keep track of when to do roll overs for each.
Edit: when I use the volume rollover trigger the results are vastly different from my backtesting results.
On your chart, have @CCk21 as data1 - that is what you are trading.
Have @CC as data2.
Create an indicator that calculates data1-data2. As soon as this is not zero, you know it is time to roll.
I actually created a paint bar indicator that does exactly this, and it is freely available, but I can't post it here because of vendor self promotion rules.
Add: I hate the ICE fees, but being able to trade Coffee, Sugar, Cotton, Orange Juice, Cocoa and the Dollar Index is well worth it.
//this paint bar will color the most recent bar green if there is a difference in the continuous contracts
//DATA1: the continuous contract you are automating/trading: example @ESZ15, @CLV15
//DATA2: the continuous contract that is always the front month: example @ES, @CL
//so, when the paint bar paints the current bar green from top to bottom on the chart, you will know
that the contract has rolled.
If BarStatus( 1 ) = 2 then begin //check only at close of bar (prevents false signals)
Condition1 = Close[1] of data1 <> Close[1] of data2 ;
Condition2 = Close[2] of data1 <> Close[2] of data2 ; //see if this makes a difference in false signals
end;
Value1 = GetAppInfo(aiHighestDispValue) ;
Value2 = GetAppInfo(aiLowestDispValue) ;
if Condition1 and Condition2 and LastBaronChart then
begin
PlotPaintBar( Value1, Value2,open,close,"plot1",green,value1,5 ) ;
Alert ;
end ;
That looks like it, you could test it today on Natural Gas, it just rolled from H to J. You should see green bar with @NGH21/@NG, but not with @NGJ21/@NG - that tells you that NGJ21 is the current contract.
