Rolling futures contracts

[MrT8]

I'm keen to hear views/strategies on the most efficient/profitable way of rolling front month futures contracts (calendar spreads) into the next front month. It's an area I'm keen to research more, if anyone can recommend resources that would be of benefit it would be much appreciated.

I would currently keep an eye on things like open interest while watching the level the spread has been trading at and make a decision based on that.

 

[arabianights]

Depends on the contract but in general if you're aligned with most other speculators it would be to your benefit to roll sooner rather than later as others rolling will move the spread further and further from fair value. Things like indecies it really doesn't matter unless you care about two or three ticks of course...

 

[-oo0(GoldTrader)]

Roll over spreads

Trading seasonal spreads is a little different.

it would be to your benefit to roll sooner rather than later as others rolling will move the spread further and further from fair value.

If what Arabianights says is true, then this abnormally will show up in the long term patterns. This is the exact thing we want to trade. We do not want to sell at fair value. We want to unload as far as possible away from fair value as long as it is in our favor.

Computer testing suggests that the optimal dates for the next spread do not correspond exactly with the bye dates on the expiring spread. So, even though it takes a series of spread contract combinations to catch a seasonal trend. The dates of both sides are unlikely to be the same.

Sometimes when we are riding a seasonal lets say it’s bearish overall. Lets say we really want to be generally long term short. The short side may be held for many months, while the long side might be rolled every six weeks on a limit or close order. Try not to use market orders.

---o0o---
My questions arising from this thread about these rollover’s is, should they be treated like a rollover, pyramids or completely new trades altogether?

Should we roll over the whole position at one time or start small on the new position following momentum and price objectives, breakouts and build the position up again?

Should the overall size of the new position be limited by the size of the original position, or on the new now larger capital base provided by profits from the beginning of the seasonal trend?

 

[elitejets]

Beware of Crude which is (still) in contango.

 

[Martinghoul]

I think the answer (not necessarily what you're looking for, mind) is "It depends..."