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Futures rollover warning for traders

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    Futures rollover warning for traders

    Lately, I've realized a serious situation that perhaps should be considered for futures traders working through NT.

    As you know Futures instruments have an expiration date and a rollover date, being the last one a week before. The problem that I've found trading and backtesting is that very often when the rollover kicks in, the new contract still doesn't have the same liquidity than the previous one which will be expired in a week, so as you can imagine you can have totally different trades and results depending on which contract you're working on. It seems that working with the new contract as soon as rollover date kicks in could be very detrimental because liquidity is not quite complete.

    Doing backtesting with merge data, I've solved this by moving manually the rollover date for the next opening on Sunday at 6pm. This is not an issue of NT but is good to know these things.


    #2
    Just make a 60 minute chart with volume from old contract and new contract. Red line is volume old contract and blue is volume new contract.
    You can clearly see when to roll over. I normally roll over the next monday after the roll over.
    Click image for larger version

Name:	volume.jpg
Views:	116
Size:	69.8 KB
ID:	1080981

    Comment


      #3
      I love the chart idea, but also see this as a perfect use of Market Analyzer.

      Right click and add a new column "Daily Volume" to your Market Analyzer, then right
      click, and select Templates -> Save as Default.

      All new Market Analyzer windows will now show a Daily Volume column.

      Right click, Add Instrument -> Futures -> Select All -- poof! you will now see the
      Daily Volumes of the old/new contracts.

      Most people recommend rollover to the new contract as soon as the volume of the
      new contract exceeds the volume of the old contract.

      Using a Market Analyzer window is a very easy way to see these Daily Volume
      numbers, and from that, you can easily make your decision when to rollover.
      Last edited by bltdavid; 12-15-2019, 01:51 PM.

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        #4
        Excellent contributions fellows to this point.
        Thanks!

        Comment


          #5
          Originally posted by pstrusi View Post
          Lately, I've realized a serious situation that perhaps should be considered for futures traders working through NT.

          As you know Futures instruments have an expiration date and a rollover date, being the last one a week before. The problem that I've found trading and backtesting is that very often when the rollover kicks in, the new contract still doesn't have the same liquidity than the previous one which will be expired in a week, so as you can imagine you can have totally different trades and results depending on which contract you're working on. It seems that working with the new contract as soon as rollover date kicks in could be very detrimental because liquidity is not quite complete.

          Doing backtesting with merge data, I've solved this by moving manually the rollover date for the next opening on Sunday at 6pm. This is not an issue of NT but is good to know these things.
          Is the backtesting issue solved by using the continuous contract?

          Comment


            #6
            No, it was only solved by moving the rollover date up 2 days ahead. So in my case, for next rollovers, it's a better idea to move rollover date until next Sunday opening, while keeping operations with the old contract until Friday.

            Comment


              #7
              I wrote a universal timer indicator (bltEasyTimer) that has a feature you might enjoy -- it will
              automatically watch for and advise you of upcoming contract rollovers.

              Indicator is available here:
              https://ninjatraderecosystem.com/use...er-advisement/

              See picture for an example:Click image for larger version  Name:	IMGDT_20191215_183113.png Views:	0 Size:	60.0 KB ID:	1081043

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