Fast way to convert strategy to data2 incoming data source

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Xurma
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Fast way to convert strategy to data2 incoming data source

Postby Xurma » 04 Oct 2021

Hello.
I wrote strategy for Crude Oil (CL) and I would like to run it on e-mini Crude Oil contract (QM). I tested both data sources on history and find out that strategy worked better on original CL data than e-mini CL(QM). I looked inside history of trades and in some cases it trade in opposite direction in the same places of history. I can not trade CL, because of my risk management. With full CL contract it getting to risky for me and I need to find out how to trade QM contract with the same result like CL. Also I tryed micro CL contract for backtest and it is even worse than e-mini CL(QM).
Is there some way to fast convertation written strategy to use for signal data2 series(CL) for trading on main series(QM)?
And if not, then I need change almost all code adding "data2" word?

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Xurma
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Re: Fast way to convert strategy to data2 incoming data source

Postby Xurma » 05 Oct 2021

In Interactive Brokers Technical Support said that continuous contracts are Back adjusted. But I looked inside and found a lot of gaps. And they are not back adjusted. It seems like I need to make back adjustment contract every month for trading. And QM and CL had different last trade dates. CL finished 3 days prior 25th of every month and QM finished 4 days prior 25th of every month. That's why I had different result with back test on Interactive Brokers data.

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TJ
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Re: Fast way to convert strategy to data2 incoming data source

Postby TJ » 05 Oct 2021

CL is a different animal.
For most of the instruments, you simply roll one contract into another.
For CL, there are contracts for every month, but not all the months are actively traded by most traders. People skip certain months when they roll over. You can check the volume to see which is the active contract.
When building a continuous contract on CL, you have to decide which month you want to include, and which months you want to skip.

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Xurma
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Re: Fast way to convert strategy to data2 incoming data source

Postby Xurma » 05 Oct 2021

CL is a different animal.
For most of the instruments, you simply roll one contract into another.
For CL, there are contracts for every month, but not all the months are actively traded by most traders. People skip certain months when they roll over. You can check the volume to see which is the active contract.
When building a continuous contract on CL, you have to decide which month you want to include, and which months you want to skip.
Thank you for answer. This is important.
Maybe you can give me advise about how to reduce maximum drawdown of the strategy? I have the simply intraday strategy with crossovers of moving averages. It traded almost full time. I tryed to trade it on 10 years history only when specific daily patterns appears and it gives better max drawdown. But when I tested it on last 2 years it was so bad. Maybe not all price patterns are good or maybe I'm just lucky. Then I start to use setstoploss(var) and it also does not give much results in reducing of max drawdown. Maybe you know some ways?

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TJ
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Re: Fast way to convert strategy to data2 incoming data source

Postby TJ » 06 Oct 2021

I don't trade CL. I haven't traded CL since 1980s. I afraid I don't have much experience or knowledge of the current market rhythm.


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