Common rollover date on CL?
- Thread starter TraDaToR
- Start date
(1) Keep an eye on the open interest "crossover" from the front month into the next month. (2) Since the crude contracts have "large carry", be careful when using continuation charts because the price differential can create the appearance of a large one-day upmove when in fact there wasn't. Focus on an extended daily chart instead........if that helps.
So if there is a $1.50 difference between contracts on your rollover date, you shift all of your back data up $1.50?
Interesting idea, but of course it goes without saying that it puts $1.50 inaccuracy into your back data, since no trades were actually made $1.50 higher.
Personally I don't use continuation charts. I use a chart of the specific trading month only.
OldTrader
That's what you do when you need to backtests some strategies. You have to create back-adjusted datas so you aren't taking the difference between contracts into account in your system results...
Problem is that sometimes you get negative values or things like that but it's not a big one ...
Problem is that sometimes you get negative values or things like that but it's not a big one ...
www.pinnacledata.com rolls on the 11th calendar day of the month prior to delivery month, and many position traders use Pinnacle's EOD data and Pinnacle's rollover schedule.
So for example Pinnacle will roll out of December crude and into the new front month, on November 11th. If November 11th is a market holiday, on the first market day thereafter.
Some traders don't trade all twelve contract months of crude oil futures; they roll over less often. One popular choice is to trade Dec crude only; such people only roll over once a year. Another popular choice is to roll over four times per year, trading the HMUZ contracts, just like currencies and bonds. And some, like me, trade the even numbered months: GJMQVZ, rolling over 6 times a year. Different strokes for different folks.
So for example Pinnacle will roll out of December crude and into the new front month, on November 11th. If November 11th is a market holiday, on the first market day thereafter.
Some traders don't trade all twelve contract months of crude oil futures; they roll over less often. One popular choice is to trade Dec crude only; such people only roll over once a year. Another popular choice is to roll over four times per year, trading the HMUZ contracts, just like currencies and bonds. And some, like me, trade the even numbered months: GJMQVZ, rolling over 6 times a year. Different strokes for different folks.