Hi,

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

Prophet85 

Hi, 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

Why the heck are you trading an instrument with such low volume and have to pay expensive ICE fees?

Here you can find available contracts and their volume, if you watch the volume, you should see when to roll: https://www.theice.com/products/7/Cocoa-Futures/expiry

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.

Prophet85 

Hi, 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

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.

kevinkdog 

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.

I just tried to find it on Google.

Is it perhaps this code?:

//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 ;

Prophet85 

I just tried to find it on Google. Is it perhaps this code?: //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.

kevinkdog 

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.

Awesome, thank you!

You are a great help as always. I will test it out in a bit!

Just a question. The timeframe for the data2 has to be the same as data1 I assume?

Prophet85 

Awesome, thank you! You are a great help as always. I will test it out in a bit! Just a question. The timeframe for the data2 has to be the same as data1 I assume?

yes

kevinkdog 

yes

Just one more question. If I have a session on data1 do I have to make the exact same session on data2 also?

Prophet85 

Just one more question. If I have a session on data1 do I have to make the exact same session on data2 also?

yes, make it exactly the same in all respects, except for the symbol name