Support Board
Date/Time: Sat, 11 Jan 2025 14:49:16 +0000
Post From: Problem with volume-based rollover
| [2016-12-01 12:52:18] |
| skelcap - Posts: 139 |
|
Ok thanks, clearly it's not urgent. I wrote my own volume-based rollover algorithm for backtesting and was just using your values to check against. It's a minor inconvenience that my results disagree with your charts at times. I'm surprised though because I didn't think a volume-based rollover rule would need to change over time since it's not something set by an exchange. If you compare the contracts CBX15/CBZ15 side by side (attached) then it's pretty clear that the volume shifts between them around 10/12/15 and I would thing the algorithm should detect that. Having the roll dates out of sequence and skipping a contract on the chart just looks odd. |
 CBX15 - CBZ15.png / V - Attached On 2016-12-01 12:48:23 UTC - Size: 97.7 KB - 307 views Attachment Deleted. |