A Mechanical Strategy Journal

[Dogpile]

<<"I realize now that Tradestation continuous contract information is faulty." ?>>

If you run the same strategy on ES.D and ESZ07.D -- I get different entry prices. That is a problem. I think the solution is just to look at individual contracts and then link them geometrically.

I had heard recently that Tradestations continuous contract was no good -- now I have my own discovery to go with that so I am placing zero trust in it.

This only really pertains to strategies that use historical days for their inputs at contract crossover points (as far as I know).

[nickm001]

Keep in mind that TS continuous contract is "back adjusted" or spliced to the old contract. However, it should match to a tick the current contract. If you discovered any discrepancy, that is because of the rollover and local cache issue. Sometimes it is corrected on the next login, and sometimes you have to force it. The easiest is to load @Es.d in the chart and then press "CTRL - R" . It should reload the new copy of the data, which should match current contract.
Based on your posts, your continuous contract did NOT roll over and it is (still) matching the September contract prices.

For backtesting results, it is ok to use continuous contract. Most of the people complain that old contract, which is spliced into continuous contract is actually shifted in prices, so there is no gap between current and expired contract at rollover time.

[Dogpile]

thx.

so if I were to run my strategy for each individual contract and sum the results, you are saying that would equal the ES.D for the same period without much error?

I was thinking of test-running this on a few contracts and seeing what the results were.

Part of writing this thread is to work out the kinks in executing a mechanical strategy and these technical execution issues of how to handle rollovers are part of this.

[nickm001]

correct... while the absolute values of the continuous contract may not match old contracts ( due to shifting up of all old contract values at rollover, when spliced to new contract), the difference between entry and exit ( P/L) should be the same.

[Dogpile]

nickm, could you comment on this:

I show the Russell contract in 2002 trading under 1400 contracts per day. (ie er2h06)... and under 10,000 contracts per day in 2003 (ie er2h03).... 2002 had good 'range' as the market was in freefall but 2003 & 2004 show about 1/2 the range (ATR) of that achieved by the completed Sep 2007 contract (15 pts vs 6-8 pts)... tick values are the same so todays contract is quite juicy compared to just 5 years ago. pretty amazing. in you opinion, is it valid to use strategy results from 2002 when the market dynamics (virtually non-existent volume and 'dollar value range') were so different?

seems to me like growth of futures contracts traded changes the futures market quite fundamentally. you simply couldn't have many traders operating with only 1400 contracts traded per day to work with.

[TinGull]

Ahhhh, I was using a 24 hour chart for my opening prices.

[nickm001]

Low volume will impact RT trading ( slippage), but as far as strategy testing, there is no impact.
Range should be considered as relative range. I usually "normalize" the range results by dividing range with value of the contract. For daytrading, I would use range as metric, not ATR. ATR is important only if you are holding overnight. In 2002 the peak range was in July ( ~16) and contract traded at ~400. This year peak range was 24, but contract is trading at 800 level, so the range actually has contracted.

For testing strategy, you need as many different market condition as possible.. Proper testing , optimization and walk forward testing ( the only real testing) is pretty complex process. If you have access to TS forum, there is tone of stuff on that subject.

[Dogpile]

New Order Triggered

Long 1 RUS 788.30

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Existing Positions:
Short 1 ES
Short 1 NQ
Long 1 ER2

(will try to follow this for all 3 contracts)

in looking at historicals --- the time this strategy gets nailed is when it is short into a relentless multi-day climb like 6-8 straight up days. even including those, the performance has been quite good -- but you have to be able to stomach some occassionally serious drawdowns.

[Dogpile]

New NQ Order Triggered

Long NQ 2027.00

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Existing Positions:

Short ES
Long NQ
Long ER2

[Dogpile]

End of a wild day update.

We are buried in ES but this is offset by NQ net gain, and RUS is absolutely nuts.

How our account stands on paper at todays close:
ES -568.75
NQ +670 (net gain including 1 unprofitable short and the todays paper gain)
ER2 +2,080 (entered 788.30 today and it closed 813.80 - paper gain of +$2,550, less the -$470 loss on initial short)

Net Standing as head into tomorrow:
+2,181.25
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Outstanding positions:
Short 1 ESZ07
Long 2 NQZ07
Long 1 ER2Z07
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(note, since NQ is only $20 per point, assume using 2 NQ contracts vs 1 each for ES and ER2)...