From the August 01, 2011 issue of Futures Magazine • Subscribe!

Trading with rolling contract data

We will run our results for Jan. 3, 1989, to June 8, 2011. We are using 20 for the Slen variable. Results are shown in "Breakout comparison".


Looking at the first three tables that use the CSI data, for the same system during the same testing period, the results across all markets differ by 15%-20%, but on a market-by-market basis the difference is a lot bigger. For example, corn's net profit ranges from $2,125 to $16,937. This is a factor of almost 800%. The maximum drawdowns are similar throughout all three rollovers, but net profit is different. The number of trades differs by about 10%; this is the cause of the discrepancies in the statistics.

The results for the Pinnacle merge data that combine the pit-only and electronic-only data, using the same fixed date rollover as discussed above, paint a different picture. You can see that using this method of assembling the data, we actually lose money on corn.

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