Support Board
Date/Time: Wed, 27 Nov 2024 22:49:05 +0000
Post From: Continuous Futures Contract
| [2014-10-02 11:58:36] |
| Hendrixon - Posts: 130 |
|
For a long time I felt that the volume based rollover is "not working well". sometimes it seemed to do a good job and sometimes it didn't. Trying to fix this, I looked on global symbol setting rollover parameters and found that if I change the number of days there... it changes the way the volume based rollover chart is constructed. What?? can't be. Volume based rollover should have no other parameter to choose the day of rollover other than volume transition... yet the chart changes. It took sometime to sink, but today I compared a chart of Continuous Futures Contract based on volume rollover to a chart based on date rollover. What do you know >>> they are identical! This explains why the "volume based" chart is influenced by number of days setting changes in the global symbol settings window... because it actually does a "date based" roll over. This also explains why sometimes the "volume based" rollover seemed to do a good job and sometimes it didn't. because by accident sometimes the date rollover actually fell on the volume transition and sometimes it didn't. * Attached picture of crude oil. left side is date rollover and right side is volume rollover. * Underlying data is tick. bars are daily, built from intraday chart (not historic). |
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